The Ruin Probability of a Discrete-Time Risk Model with a One-Sided Linear Claim Process

DOI10.1080/03610926.2010.513789zbMath1241.91063MaRDI QIDQ2892639

Jiangyan Peng, Jin Huang, Ding Cheng Wang

Publication date: 19 June 2012

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2010.513789

zbMATH Keywords

asymptotics; ruin probability; discrete time risk model; constant interest rate; Lundberg inequality; one-sided linear model

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

The ruin probabilities of a discrete time risk model with one-sided linear claim sizes and dependent risks, On the first time of ruin in two-dimensional discrete time risk model with dependent claim occurrences, Asymptotic estimates for finite-time ruin probability in a discrete-time risk model with dependence structures and CMC simulations, Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments, On a discrete interaction risk model with delayed claims and randomized dividends, On the ruin probabilities in a discrete time insurance risk process with capital injections and reinsurance, Asymptotic ruin probabilities for a dependent renewal risk model with general investment returns and CMC simulations

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