On the renewal risk model with interest and dividend |
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Authors: | Fang Ying Wu Rong |
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Institution: | 1. Department of Mathematics and LPMC, Nankai University, Tianjin 300071, China;2. Department of Mathematics, Shangdong Normal University, Jinan 250014, Chin |
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Abstract: | We consider that the reserve of an insurance company follows a renewal risk process with interest and dividend. For this risk process, we derive integral equations and exact infinite series expressions for the Gerber-Shiu discounted penalty function. Then we give lower and upper bounds for the ruin probability. Finally, we present exact expressions for the ruin probability in a special case of renewal risk processes. |
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Keywords: | Gerber-Shiu discounted penalty function ruin probability dividend interest |
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