Inequalities for the probability of ruin in a reinsurance risk model with m-dependence assumptions

DOI10.7153/JMI-2024-18-38zbMATH Open1545.91265MaRDI QIDQ6570484FDOQ6570484

Authors: Nguyen Huy Hoang, Tran Thi Hai Ly, Nguyen Quang Chung 

Publication date: 10 July 2024

Published in: Journal of Mathematical Inequalities (Search for Journal in Brave)

zbMATH Keywords

martingale processreinsurancediscrete time risk modelultimate ruin probabilityrecursive equation\(m\)-dependence random variables

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Martingales with discrete parameter (60G42) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Cites Work

• On finite-time ruin probabilities for classical risk models
• The probability of ruin in finite time with discrete claim size distribution
• Aspects of risk theory
• Ruin probabilities for discrete time risk models with stochastic rates of interest
• The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails
• Ruin probabilities and penalty functions with stochastic rates of interest
• Ruin probabilities in a discrete time risk model with dependent risks of heavy tail
• DISCRETE TIME RISK MODELS UNDER RATES OF INTEREST
• Ruin probabilities with a Markov chain interest model
• Ruin probabilities with dependent rates of interest
• Non-exponential Bounds for Ruin Probability with Interest Effect Included
• Padé approximants for finite time ruin probabilities
• Bounds for the Ruin Probability of a Discrete-Time Risk Process
• Risk theory
• Inequalities for the ruin probability in a controlled discrete-time risk process
• Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.
• On the deficit distribution when ruin occurs -- discrete time model
• Ruin probability in a generalised risk process under rates of interest with homogenous Markov chains
• Ruin Probabilities of Continuous-Time Risk Model with Dependent Claim Sizes and Interarrival Times
• Minimizing upper bound of ruin probability under discrete risk model with Markov chain interest rate
• Ruin probabilities for risk models with constant interest

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