Some Distribution of the Discrete Time Insurance Risk Model under Interest Rates with Autoregressive Structure of Order 2

DOI

10.2991/lemcs-14.2014.88How to use a DOI?

Keywords

risk model; autoregressive structure; interest force; ruin deficit; maximum surplus

Abstract

this paper discusses ruin problems in the discrete time insurance risk model under the assumption that the rate of interest is dependent upon the second autoregressive structure. By using inductive method, the recursive expressions of the distribution of the deficit at ruin, the distribution of maximum surplus before the ruin and the time that the surplus process reaches a given level x for the first time are obtained, then the corresponding integral equations for the distributions are obtained.

Copyright

© 2014, 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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TY  - CONF
AU  - Chunping Li
PY  - 2014/05
DA  - 2014/05
TI  - Some Distribution of the Discrete Time Insurance Risk Model under Interest Rates with Autoregressive Structure of Order 2
BT  - Proceedings of the International Conference on Logistics, Engineering, Management and Computer Science
PB  - Atlantis Press
SP  - 373
EP  - 376
SN  - 1951-6851
UR  - https://doi.org/10.2991/lemcs-14.2014.88
DO  - 10.2991/lemcs-14.2014.88
ID  - Li2014/05
ER  -