The Ruin Probability of a Discrete-Time Risk Model with a One-Sided Linear Claim Process
The Ruin Probability of a Discrete-Time Risk Model with a One-Sided Linear Claim Process
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DOI：
10.1080/03610926.2010.513789
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发表时间：
2011-11
期刊：
影响因子：
--
通讯作者：
Jiangyan Peng;Jin Huang;Dingcheng Wang
中科院分区：
文献类型：
--
作者：
Jiangyan Peng;Jin Huang;Dingcheng Wang
本文研究了具有常利率的离散时间风险模型的破产概率，其中相依索赔具有单侧线性结构。给出了破产概率的一个显式渐近公式。利用鞅方法和归纳法得到了破产概率的广义Lundberg不等式.
In this article, the ruin probability is examined in a discrete time risk model with a constant interest rate, in which the dependent claims are assumed to have a one-sided linear structure. An explicit asymptotic formula is obtained for the ruin probability. Generalized Lundberg inequalities for the ruin probability are derived by martingale and inductive approaches.