Ruin Probabilities of Continuous-Time Risk Model with Dependent Claim Sizes and Interarrival Times-Reference-Cited by-同舟云学术

Ruin Probabilities of Continuous-Time Risk Model with Dependent Claim Sizes and Interarrival Times

Published:2020-08-28 Issue:Supp01 Volume:28 Page:69-80
ISSN:0218-4885
Container-title:International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems
language:en
Short-container-title:Int. J. Unc. Fuzz. Knowl. Based Syst.

Author:

Hoang Nguyen Huy¹,Ta Bao Quoc²^ORCID

Affiliation:

1. Department of Mathematics and Statistics, University of Finance and Marketing, Ho Chi Minh City, Vietnam

2. Department of Mathematical Economics, Banking University of Ho Chi Minh City, 39 Ham Nghi, District 1, Ho Chi Minh City, Vietnam

Abstract

In this paper we investigate an insurance continuous-time risk model when the claim sizes and inter-arrival times are m-dependent random variables. We provide an upper exponential bound for the ruin probability.

Publisher

World Scientific Pub Co Pte Lt

Subject

Artificial Intelligence,Information Systems,Control and Systems Engineering,Software

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0218488520400061

Reference6 articles.

1. A ruin model with dependence between claim sizes and claim intervals

2. On a gamma series expansion for the time-dependent probability of collective ruin

3. The Jackknife and the Bootstrap for General Stationary Observations

4. Asymptotic ruin probabilities for risk processes with dependent increments

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1. Inequalities for the probability of ruin in a reinsurance risk model with m-dependence assumptions;Journal of Mathematical Inequalities;2024

2. Uncertainty Analysis in Economics and Finance: Preface to the Special Issue;International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems;2020-08-28