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

DOI10.3969/J.ISSN.1674-232X.2013.04.009zbMATH Open1299.91075MaRDI QIDQ4980894FDOQ4980894

Authors: Feng-jie Wu, Huizeng Zhang 

Publication date: 30 June 2014

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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)

Cited In (5)

• MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE
• Finite-time ruin probability for risk model based on NGINAR(1)
• The risk model under rates of interest
• Upper bounds for ruin probabilities in an autoregressive risk model with a Markov chain interest rate
• Title not available (Why is that?)

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