UPPER BOUNDS FOR RUIN PROBABILITY UNDER TIME SERIES MODELS-Reference-Cited by-同舟云学术

UPPER BOUNDS FOR RUIN PROBABILITY UNDER TIME SERIES MODELS

Published:2006-06-01 Issue:3 Volume:20 Page:529-542
ISSN:0269-9648
Container-title:Probability in the Engineering and Informational Sciences
language:en
Short-container-title:Prob. Eng. Inf. Sci.

Author:

Chan Gary K. C.,Yang Hailiang

Abstract

In this article, we consider an insurance risk model where the claim and premium processes follow some time series models. We first consider the model proposed in Gerber [2,3]; then a model with dependent structure between premium and claim processes modeled by using Granger's causal model is considered. By using some martingale arguments, Lundberg-type upper bounds for the ruin probabilities under both models are obtained. Some special cases are discussed.

Publisher

Cambridge University Press (CUP)

Subject

Industrial and Manufacturing Engineering,Management Science and Operations Research,Statistics, Probability and Uncertainty,Statistics and Probability

Reference6 articles.

1. Granger, C.W.J. (1969).Investigating causal relations by econometric models andcross-spectral methods.Econometrica 37:424–438.

2. Yang, H. & Zhang, L. (2003).Martingale method for ruin probability in an autoregressive modelwith constant interest rate.Probability in the Engineering and Informational Sciences 17:183–198.

3. Gerber, H.U. (1981).On the probability of ruin in an autoregressive model.Bulletin of the Association of Swiss Actuaries 77:131–141.

4. Yang, H. (1999).Non-exponential bounds for ruin probability with interest effectincluded.Scandinavian Actuarial Journal 1999:66–79.

5. Gerber, H.U. (1982).Ruin theory in the linear model.Insurance: Mathematics and Economics 1:177–184.

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