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Discrete time risk models under rates of interest. (English) Zbl 1031.91057
The author introduces two generalizations of the classical discrete time risk model taking into account that the insurer receives interest on its surplus during each period. In particular, claims, premiums, and interest rates are modelled as independent sequences of independent and identically distributed random variables. By using martingales and renewal recursive techniques, stochastic inequalities for the probability of ruin are derived.

MSC:
91B30 Risk theory, insurance (MSC2010)
60K10 Applications of renewal theory (reliability, demand theory, etc.)
62P05 Applications of statistics to actuarial sciences and financial mathematics
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