Ruin problems for the discrete time insurance risk model with the dependent claim amount

DOI10.13548/J.SXZZ.20170401.009zbMATH Open1413.62193MaRDI QIDQ4640673FDOQ4640673

Authors Li Yu, Qingfang Wang, Shuidi Huang 

Publication date 25 May 2018

zbMATH Keywords

duration of ruindiscount ratedouble type riskfirst-order autoregressive structure

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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(17)

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• On the first time of ruin in two-dimensional discrete time risk model with dependent claim occurrences
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