Author:
Yang Hailiang,Zhang Lihong
Abstract
In this article, we consider a discrete-time insurance risk
model. An autoregressive model is used to model both the claim
process and the premium process. The probability of ruin is
examined in a model with a constant interest rate. Both exponential
and nonexponential upper bounds are obtained for the ruin
probability of an infinite time horizon.
Publisher
Cambridge University Press (CUP)
Subject
Industrial and Manufacturing Engineering,Management Science and Operations Research,Statistics, Probability and Uncertainty,Statistics and Probability
Cited by
26 articles.
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