2008•Journal of Guangxi UniversityRequires access

The study of the discrete risk model with return on investments

Liu Yao-huan

Abstract

A discrete risk model with return on investments is proposed by putting a random return on investment in the compound binomial model.The integral equation of its ruin probability is derived.Recursive formulas are provided for the computation of the finite-time ruin probability,the distribution of the time of ruin and the joint distribution of the surplus immediately before ruin and the deficit at ruin.The common formula of its ultimate ruin probability and Lundberg's inequality are obtained.

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Key concepts: Ruin theory, Mathematics, First-hitting-time model, Joint probability distribution, Binomial (polynomial), Binomial distribution, Discrete time and continuous time, Distribution (mathematics)