Exponential bounds for ruin probability in two moving average risk models with constant interest rate

被引：0

作者：

Ding Jun Yao

Rong Ming Wang

机构：

[1] East China Normal University,Department of Statistics

来源：

Acta Mathematica Sinica, English Series | 2008年 / 24卷

关键词：

ruin probability; moving average model; rate of interest; exponential bound; martingale; 60K05; 62P05; 90A46;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

The authors consider two discrete-time insurance risk models. Two moving average risk models are introduced to model the surplus process, and the probabilities of ruin are examined in models with a constant interest force. Exponential bounds for ruin probabilities of an infinite time horizon are derived by the martingale method.

引用

页码：319 / 328

页数：9

共 12 条

[1] Gerber H. U.(1982)Ruin theory in the linear model Insurance: Mathematics and Economics 1 177-184
[2] Yang H. L.(2003)Martingale method for ruin probability in an autoregressive model with constant interest rate Probability in the Engineering and Informational Sciences 17 183-198
[3] Zhang L. H.(1995)Ruin estimates under interest force Insurance: Mathematics and Economics 16 7-22
[4] Sundt B.(1997)The adjustment function in ruin estimates under interest force Insurance: Mathematics and Economics 19 85-94
[5] Teugels J. L.(2002)Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails Insurance: Mathematics and Economics 31 447-460
[6] Sundt B.(2002)Discrete time risk models under rates of interest Probability in the Engineering and Informational Sciences 16 309-324
[7] Teugels J. L.(2002)Ruin probabilities with dependent rates of interest Journal of Applied Probability 39 312-323
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