The Ruin Probability of a Discrete-Time Risk Model with a One-Sided Linear Claim Process

被引：18

作者：

Peng, Jiangyan ^{[1
]}

Huang, Jin ^{[1
]}

Wang, Dingcheng ^{[1
]}

机构：

[1] Univ Elect Sci & Technol China, Sch Math Sci, Chengdu 611731, Sichuan, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2011年 / 40卷 / 24期

基金：

中国国家自然科学基金;

关键词：

Asymptotics; Constant interest rate; Discrete time risk model; Lundberg inequality; One-sided linear model; Ruin probability; STOCHASTIC RETURN;

D O I：

10.1080/03610926.2010.513789

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this article, the ruin probability is examined in a discrete time risk model with a constant interest rate, in which the dependent claims are assumed to have a one-sided linear structure. An explicit asymptotic formula is obtained for the ruin probability. Generalized Lundberg inequalities for the ruin probability are derived by martingale and inductive approaches.

引用

页码：4387 / 4399

页数：13

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