Mathematica Eterna
Open Access

Abstract

Finite – Time Ruin Probability In a Generalized Risk Processes under Interest Force

Bui Khoi Dam and Phung Duy Quang

The aim of this paper is to build an exact formula for ruin probability of generalized risk processes under interest force with assumption that claims and premiums are assumed to be positive-valued random variables and interests are assumed to be non - negative- valued random variables (claims, premiums and interests are assumed to be independent). This situation is quite realistic for many situations. An exact formula for ruin (non-ruin) probabilities is derived in this paper. A numerical example is given to illustrate results. Our results is to extend models which is an exact formula derived by Claude Lefèvre and Stéphane Loise