MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE
MODEL WITH CONSTANT INTEREST RATE
2003 ◽
Vol 17
(2)
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pp. 183-198
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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.
2019 ◽
pp. 1-12
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2012 ◽
Vol 52
(1)
◽
pp. 111-121
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2011 ◽
Vol 2011
◽
pp. 1-14
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2014 ◽
Vol 10
(3)
◽
pp. 339-357
2004 ◽
Vol 2004
(3)
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pp. 229-240
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2011 ◽
Vol 15
(1)
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pp. 109-124
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2010 ◽
Vol 80
(7-8)
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pp. 662-669
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