Advances and Applications in Statistics
Volume 4, Issue 3, Pages 379 - 395
(December 2004)
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RUIN PROBLEMS UNDER FEEDBACK MODEL WITH RANDOM INTEREST
Gary K. C. Chan (Hong Kong) and Hailiang Yang (Hong Kong)
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Abstract: In
this paper, we consider an insurance risk
model where the claim and premium processes
follow some time series models and with
stochastic interest incomes. We first obtain
some recursive and integral equations for the
joint distributions of surplus before and
after ruin, and as some natural corollaries,
recursive and integral equations for the
distribution of surplus before ruin and the
distribution of surplus after ruin are also
obtained. By using the notion of decreasing
failure rate distribution, non-exponential
bound is obtained for the ruin probability. |
Keywords and phrases: feedback insurance risk models, random interest income, recursive and integral equations, non-exponential bounds, DFR distribution. |
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