Ruin probability of a discrete-time risk model under interest rates with autoregressive structure of order 2

DOI10.3969/J.ISSN.1674-232X.2013.04.009MaRDI QIDQ4980894zbMATH OpenFDO

Authors Feng-jie Wu, Huizeng Zhang

Publication date 30 June 2014

zbMATH Keywords

ruin probabilitydiscrete-time risk modelLundberg upper boundorder-2 autoregressive model

Mathematics Subject Classification ID

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

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