ON THE RENEWAL RISK MODEL WITH INTEREST AND DIVIDEND

doi:10.1016/S0252-9602(10)60166-X

Abstract

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.

Key words: Gerber-Shiu discounted penalty function, ruin probability, dividend, interest

CLC Number:

60J75

FANG Ying, WU Rong. ON THE RENEWAL RISK MODEL WITH INTEREST AND DIVIDEND[J].Acta mathematica scientia,Series B, 2010, 30(5): 1730-1738.

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