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.
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页码：319 / 328
页数：10
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