Ruin problems for an autoregressive risk model with dependent rates of interest (Q426430)
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scientific article; zbMATH DE number 6045205
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| English | Ruin problems for an autoregressive risk model with dependent rates of interest |
scientific article; zbMATH DE number 6045205 |
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Ruin problems for an autoregressive risk model with dependent rates of interest (English)
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11 June 2012
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discrete time risk model
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discounted penalty function
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severity of ruin
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ruin probability
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asymptotic formula
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duration of ruin
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0.9227644205093384
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0.9035112857818604
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0.887363851070404
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0.8835870027542114
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