Non-exponential Bounds for Ruin Probability with Interest Effect Included
Non-exponential Bounds for Ruin Probability with Interest Effect Included
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DOI：
10.1080/03461230050131885
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发表时间：
1999
影响因子：
1.8
通讯作者：
Hailiang Yang
中科院分区：
文献类型：
--
作者：
Hailiang Yang
本文考虑了一类离散时间风险模型.首先讨论了经典模型，利用鞅不等式得到了破产概率的指数和非指数上界。对于有投资收益的模型，也得到了类似的结果.
In this paper, we consider a discrete time risk model. First we discuss the classical model, both exponential and non-exponential upper bounds for ruin probabilities are obtained by using martingale inequalities. Then similar results are obtained for the model with investment income.