Highly Influential

3 Excerpts

- Published 2002

In [1] a risk model under a stochastic interest force was constructed and some results concerning the behavior of the ruin probability in this model were obtained. However, the properties of this model (even qualitative) were not investigated. In this paper the problem of qualitative investigation of this model is considered and main formulas characterizing its dynamics are obtained. This paper develops classical results on the behavior of the ruin probability under conditions of permanent inflation and constant interest force and gives a generalization of a Lindley chain which was used in the risk model without interest force.

@inproceedings{SEMINAR2002QualityPO,
title={Quality Properties of Risk Models Under Stochastic Interest Force},
author={MEMORIAL SEMINAR},
year={2002}
}