Ruin probabilities for discrete time risk models with stochastic rates of interest

Statistics and Probability Letters

Volumn 78, Issue 6, 2008, Pages 707-715

  Wei, Xiao ^a   Hu, Yijun ^a  

^a WUHAN UNIVERSITY   (China)

Author keywords

(finite time or ultimate) Ruin probability; Discrete time risk model; Heavy tailed; Rate of interest; Recursive equation; Time of ruin

Indexed keywords

EID: 40749107053     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spl.2007.06.001     Document Type: Article

References (7)

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6. Willmot G.E., and Lin X.S. Lundberg Approximations for Compound Distributions with Insurance Applications (2001), Springer, New York
7. Yang H. Non-exponential bounds for ruin probability with interest effect included. Scand. Actuar. J. 1 (1999) 66-79