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

DOI10.7153/JMI-2024-18-38MaRDI QIDQ6570484zbMATHFDO

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)

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Cites work

• Title not available (Why is no real title available?)
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• DISCRETE TIME RISK MODELS UNDER RATES OF INTEREST
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• Minimizing upper bound of ruin probability under discrete risk model with Markov chain interest rate
• Non-exponential Bounds for Ruin Probability with Interest Effect Included
• On finite-time ruin probabilities for classical risk models
• On the deficit distribution when ruin occurs -- discrete time model
• Padé approximants for finite time ruin probabilities
• Risk theory
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• Ruin probabilities in a discrete time risk model with dependent risks of heavy tail
• Ruin probabilities with a Markov chain interest model
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• The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails
• The probability of ruin in finite time with discrete claim size distribution
• Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.

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