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Zbl 1174.91523
Yao, Dingjun; Wang, Rongming; Xu, Lin
On the expected discounted penalty function associated with the time of ruin for a risk model with random income. (English)
[J] Chin. J. Appl. Probab. Stat. 24, No. 3, 319-326 (2008). ISSN 1001-4268

Summary: This paper studies the expected discounted penalty function associated with the time of ruin for a risk model with stochastic premium. The premium process is no longer a linear function of time in contrast to the classical Cramér-Lundberg model. The aggregate premiums constitute a compound Poisson process which is also independent of the claim process. An integral equation for the penalty function is derived, which provides a unified treatment to the ruin quantities. Applications of the integral equation are given to the Laplace transform of the time of ruin, the deficit at ruin, the surplus immediately before ruin occurs. In some special cases with exponential distributions, closed form expressions for these quantities are obtained.

MSC 2000:: *91B30 Risk theory etc.
62P05 Appl. of statistics to actuarial sciences and financial mathematics

Keywords: stochastic premium; integral equation; penalty function; time of ruin

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