We consider a risk process with stochastic interest rate, and show that the probability of eventual ruin and the Laplace transform of the time of ruin can be found by solving certain boundary value problems involving integro-differential equations. These equations are then solved for a number of special cases. We also show that a sequence of such processes converges weakly towards a diffusion process, and analyze the above-mentioned ruin quantities for the limit process in some detail.
No takes yet. Share an insight, caveat, or question.
Paulsen et al. (1997) studied this question.
Synapse has enriched one closely related paper. Consider it for comparative context: