The Expected Discounted Penalty at Ruin under a Stochastic Interest Rate
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Graphical Abstract
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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.
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