On a Joint Distribution for the Classical Risk Process with a Stochastic Return on Investments

Abstract

In this paper, we consider the classical risk process with a stochastic return on investments. We derive an explicit expression for the joint distribution of three important actuarial diagnostics: the time of ruin, the surplus immediately before ruin and deficit at ruin, which generalizes the corresponding result in Wu et al.[12] for the risk process with a constant force of interest.