On the Renewal Risk Model with Constant Interest Force

Authors

  • K.K. Thampi SNMC
  • M.J. Jacob NITC

Keywords:

Constant interest force, Generalized Exponential distribution, Laplace-Stieltjes transform, Probability of Ruin, Recursive calculation

Abstract

In this paper, we consider a renewal risk model with constant interest force for an insurance portfolio. We discuss equations for the survival probability and its Laplace-Stieltjes transforms have been obtained. We provide recursive algorithm for the upper and lower bounds for the ruin/survival probability under interest force. Finally, we derive an exponential integral equation for the survival probability. Some special cases are also discussed.

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Published

2021-10-15

How to Cite

K.K. Thampi, & M.J. Jacob. (2021). On the Renewal Risk Model with Constant Interest Force. Journal of Risk Analysis and Crisis Response, 3(2). Retrieved from https://jracr.com/index.php/jracr/article/view/76

Issue

Vol. 3 No. 2 (2013)

Section

Article