The risk model under rates of interest

zbMATH Open1282.91163MaRDI QIDQ4647697FDOQ4647697

Shanbing Yang

Publication date: 7 November 2012

Full work available at URL: http://www.pphmj.com/abstract/6091.htm

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zbMATH Keywords

risk modelupper boundultimate ruin probabilityautoregressive structurerate of interestorder two

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Discrete-time Markov processes on general state spaces (60J05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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