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
收藏
页码：4387 / 4399
页数：13
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