Upper bounds for ruin probabilities in two dependent risk models under rates of interest

被引：2

作者：

Yao, Dingjun ^{[1
]}

Wang, Rongming ^{[1
]}

机构：

[1] E China Normal Univ, Sch Finance & Stat, Shanghai 200241, Peoples R China

来源：

APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY | 2010年 / 26卷 / 04期

基金：

中国国家自然科学基金;

关键词：

ruin probability; rate of interest; integral equation; Lundberg bound; renewal recursive technique;

D O I：

10.1002/asmb.768

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

In this article, we consider two discrete-time risk models, in which dependent structures of the payments and the interest force are considered. Two autoregressive moving-average (ARMA) models are introduced to model the premiums and rates of interest, and the claims are assumed to be independent. Generalized Lundberg inequalities for the ruin probabilities are derived by using renewal recursive technique, which extend some known results. Copyright (C) 2009 John Wiley & Sons, Ltd.

引用

页码：362 / 373

页数：12

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