Ruin problems for a discrete time risk model with random interest rate

Mathematical Methods of Operations Research

Volumn 63, Issue 2, 2006, Pages 287-299

  Yang, Hailiang ^a   Zhang, Lihong ^b  

^a UNIVERSITY OF HONG KONG   (Hong Kong)

^b Tsinghua University   (China)

Author keywords

Convergence of the discounted surplus process; Interest income; Martingale; New better than used distribution; New worse than used distribution; Recursive formula

Indexed keywords

CONVERGENCE OF NUMERICAL METHODS; PROBABILITY; PROBLEM SOLVING; RANDOM PROCESSES; RISK ASSESSMENT;

CONVERGENCE OF THE DISCOUNTED SURPLUS PROCESS; INTEREST INCOME; MARTINGALE; NEW BETTER THAN USED DISTRIBUTION; NEW WORSE THAN USED DISTRIBUTION; RECURSIVE FORMULA;

MATHEMATICAL MODELS;

EID: 33646694802     PISSN: 14322994     EISSN: 14325217     Source Type: Journal    
DOI: 10.1007/s00186-005-0025-5     Document Type: Article

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