Fenglong Guo and Dingcheng Wang
Ruin Probabilities with Dependent Rates of Interest and Autoregressive Moving Average Structures
865 - 870
2012
6
8
International Journal of Mathematical and Computational Sciences
https://publications.waset.org/pdf/5556
https://publications.waset.org/vol/68
World Academy of Science, Engineering and Technology
This paper studies ruin probabilities in two discretetime
risk models with premiums, claims and rates of interest modelled by
three autoregressive moving average processes. Generalized Lundberg
inequalities for ruin probabilities are derived by using recursive
technique. A numerical example is given to illustrate the applications
of these probability inequalities.
Open Science Index 68, 2012