THE PROBABILITY OF RUIN IN A PROCESS WITH DEPENDENT INCREMENTS

被引：13

作者：

PROMISLOW, SD

机构：

[1] Department of Mathematics and Statistics, York University, North York

来源：

INSURANCE MATHEMATICS & ECONOMICS | 1991年 / 10卷 / 02期

关键词：

RUIN; ADJUSTMENT COEFFICIENT; MOVING AVERAGE MODEL; AUTOREGRESSIVE MODEL;

D O I：

10.1016/0167-6687(91)90003-G

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We generalize some results of Gerber concerned with the probability of ruin in a linear model. In particular, we remove the boundedness restriction for the underlying distribution, allow for a weaker convergence condition for the coefficients in the infinite order case, and relax the stationarity requirement of the model.

引用

页码：99 / 107

页数：9