A decomposition of the ruin probability for risk processes with Vasicek interest rate.

*(English)*Zbl 1174.60432Summary: We assume that an insurer with a jump-diffusion risk process would invest its surplus in a bond market, and the interest structure of the bond market is assumed to follow the Vasicek interest model. The paper focuses on studying the ruin problems in the above compound process. In this compounded risk model, ruin may be caused by a claim or oscillation. We decompose the ruin probability for the compounded risk process into two probabilities: the probability that ruin caused by a claim and the probability that ruin caused by oscillation. Integro-differential equations for these ruin probabilities are derived. When the claim sizes are exponentially distributed, the above-mentioned integro-differential equations can be reduced to a three-order partial differential equation.