MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE

Hailiang Yang

45 citations0/0 files storedProbability in the Engineering and Informational Sciences

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Probability and Risk Models Insurance and Financial Risk Management Probability and Statistical Research

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.

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1996Dependency of Risks and Stop-Loss Order 1997Ruin theory with stochastic return on investments 1995Ruin estimates under interest force 1997Stop-loss order for portfolios of dependent risks 1999Stochastic bounds on sums of dependent risks 1999The safest dependence structure among risks 1997On the dependency of risks in the individual life model 1998Ruin theory with compounding assets — a survey

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2017Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments

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