Ruin problems for an autoregressive risk model with dependent rates of interest
Ruin problems for an autoregressive risk model with dependent rates of interest
复制标题
具有相关利率的自回归风险模型的破产问题
DOI：
10.1016/j.amc.2011.09.030
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发表时间：
2011-12-01
影响因子：
4
通讯作者：
Wang, Dehui
中科院分区：
文献类型：
--
作者：
Cheng, Jianhua;Wang, Dehui
本文考虑一类离散保险风险模型，其中索赔、保费和利率均为相依自回归结构(AR(1))。我们推导了期望折现罚金函数的递推方程和积分方程组。通过这些方程，我们得到了关于破产的无限时间严重性的广义Lundberg不等式，从而得到了无限时间破产概率的广义Lundberg不等式，当损失分布具有规则变化的尾部时，考虑了有限时间破产概率的渐近公式，并研究了破产持续时间的一些概率性质。(C)2011 Elsevier Inc.保留所有权利。
In this paper, we consider a discrete insurance risk model in which the claims, the premiums and the rates of interest are assumed to have dependent autoregressive structures (AR(1)). We derive recursive and integral equations for expected discounted penalty function. By these equations, we obtain generalized Lundberg inequality for the infinite time severity of ruin and hence for the infinite time ruin probability, consider asymptotic formula for the finite time ruin probability when loss distributions have regularly varying tails, and study some probability properties of the duration of ruin. (C) 2011 Elsevier Inc. All rights reserved.