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

被引：4

作者：

Yao, Ding Jun ^{[1
]}

Wang, Rong Ming ^{[1
]}

机构：

[1] E China Normal Univ, Dept Stat, Shanghai 200062, Peoples R China

来源：

ACTA MATHEMATICA SINICA-ENGLISH SERIES | 2008年 / 24卷 / 02期

基金：

中国国家自然科学基金;

关键词：

ruin probability; moving average model; rate of interest; exponential bound; martingale;

D O I：

10.1007/s10114-007-1004-y

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

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：10

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