CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST 2008, 24(6) 631-638 DOI:      ISSN: 1001-4268 CN: 31-1256

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Keywords
Expected discounted penalty at ruin
renewal equation
standard Wiener process
Poisson process
ruin probability.
Authors
Wang Houchun
PubMed
Article by

The Expected Discounted Penalty at Ruin under a Stochastic Interest Rate

Wang Houchun

Department of Mathematics $\&$ Physics, Anhui University of Architecture

Abstract��

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.

Keywords�� Expected discounted penalty at ruin   renewal equation   standard Wiener process   Poisson process   ruin probability.  
Received 1900-01-01 Revised 1900-01-01 Online:  
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Corresponding Authors: Wang Houchun
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