On the Distribution of Duration of First Negative Surplus for a Discrete Time Risk Model with Random Interest Rate |
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| Authors: | WANG Rong-ming and WU Xian-yi |
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| Affiliation: | Department of Statistics, East China Normal University, Shanghai, 200062 |
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| Abstract: | In this paper, we examine further annuity-due risk model presented by Cai (Probability in the Engineering and Informational Sciences, 16(2002), 309-324). We consider the computation for the distribution of duration of first negative surplus and the algorithm is shown for calculating probability that ruin occurs and the duration of first negative surplus takes any nonnegative integers values. Numerical illustration for the main result is given. |
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| Keywords: | discrete time risk model random interest rate annuity-due risk model duration of negative surplus |
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