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| Keywords | |
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Expected discounted penalty at ruin |
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renewal equation |
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standard Wiener process |
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Poisson process |
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ruin probability. |
| Authors | |
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Wang Houchun |
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The Expected Discounted Penalty at Ruin under a Stochastic Interest Rate
Wang Houchun
Department of Mathematics $\&$ Physics, Anhui University of Architecture
In the classical risk model, the conception of the expected discounted penalty at ruin with a stochastic interest rate is introduced. The interest randomness is described by standard Wiener process and Poisson process. The renewal equation for the expected discounted penalty at ruin is derived, and the
asymptotic formula for it is derived by virtue of this equation.