Exponential bounds for ruin probability in two moving average risk models with constant interest rate

DOI10.1007/S10114-007-1004-YzbMATH Open1143.62071OpenAlexW1993647015MaRDI QIDQ925963FDOQ925963

Authors: Dingjun Yao, Rongming Wang 

Publication date: 26 May 2008

Published in: Acta Mathematica Sinica, English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-007-1004-y

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zbMATH Keywords

martingalesinterest rateexponential boundsmoving average model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with discrete parameter (60G42)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Ruin estimates under interest force
• DISCRETE TIME RISK MODELS UNDER RATES OF INTEREST
• Estimates for the ruin probability in the classical risk model with constant interest force in the presence of heavy tails.
• Ruin theory in the linear model
• Ruin probabilities with dependent rates of interest
• Non-exponential Bounds for Ruin Probability with Interest Effect Included
• MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE
• The adjustment function in ruin estimates under interest force

Cited In (4)

• MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE
• Exponential bounds of ruin probabilities for non-homogeneous risk models
• Two-sided bounds for ruin probability under constant interest force
• Upper bounds for ruin probabilities in two dependent risk models under rates of interest

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