Journal of Risk Analysis and Crisis Response

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Volume 3, Issue 2, August 2013, Pages 88 - 94

On the Renewal Risk Model with Constant Interest Force

Authors
K.K. Thampi, M.J. Jacob
Corresponding Author
K.K. Thampi
Received 24 December 2012, Accepted 11 June 2013, Available Online 1 August 2013.
DOI
10.2991/jrarc.2013.3.2.3How to use a DOI?
Keywords
Constant interest force, Generalized Exponential distribution, Laplace-Stieltjes transform, Probability of Ruin, Recursive calculation
Abstract

In this paper, we consider a renewal risk model with constant interest force for an insurance portfolio. We discuss equations for the survival probability and its Laplace-Stieltjes transforms have been obtained. We provide recursive algorithm for the upper and lower bounds for the ruin/survival probability under interest force. Finally, we derive an exponential integral equation for the survival probability. Some special cases are also discussed.

Copyright
© 2013, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Journal
Journal of Risk Analysis and Crisis Response
Volume-Issue
3 - 2
Pages
88 - 94
Publication Date
2013/08/01
ISSN (Online)
2210-8505
ISSN (Print)
2210-8491
DOI
10.2991/jrarc.2013.3.2.3How to use a DOI?
Copyright
© 2013, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

risenwbib
TY  - JOUR
AU  - K.K. Thampi
AU  - M.J. Jacob
PY  - 2013
DA  - 2013/08/01
TI  - On the Renewal Risk Model with Constant Interest Force
JO  - Journal of Risk Analysis and Crisis Response
SP  - 88
EP  - 94
VL  - 3
IS  - 2
SN  - 2210-8505
UR  - https://doi.org/10.2991/jrarc.2013.3.2.3
DO  - 10.2991/jrarc.2013.3.2.3
ID  - Thampi2013
ER  -