Ruin probabilities with dependent rates of interest
Ruin probabilities with dependent rates of interest
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DOI：
10.1239/jap/1025131428
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发表时间：
2002-06
影响因子：
1
通讯作者：
Jun Cai
中科院分区：
文献类型：
--
作者：
Jun Cai
本文研究了两种广义风险模型的破产概率。模型中考虑了支付时机和利息对破产概率的影响。假设利率具有相依的自回归结构。利用更新递推技术，得到了破产概率的广义Lundberg不等式。最后给出了复合二项风险过程的应用实例。
In this paper, we study ruin probabilities in two generalized risk models. The effects of timing of payments and interest on the ruin probabilities in the models are considered. The rates of interest are assumed to have a dependent autoregressive structure. Generalized Lundberg inequalities for the ruin probabilities are derived by a renewal recursive technique. An illustrative application is given to the compound binomial risk process.