Mitric, Ilie-Radu; Badescu, Andrei L.; Stanford, David A. - In: Insurance: Mathematics and Economics 50 (2012) 1, pp. 167-178
In this paper, we extend the work of Mitric and Sendova (2010), which considered the absolute ruin problem in a risk model with debit and credit interest, to renewal and non-renewal structures. Our first results apply to MAP processes, which we later restrict to the Sparre Andersen renewal risk...