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

DOI10.1007/S10114-007-1004-YMaRDI QIDQ925963zbMATHOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 4032883 (Why is no real title available?)
• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• 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.
• MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE
• Non-exponential Bounds for Ruin Probability with Interest Effect Included
• Ruin estimates under interest force
• Ruin probabilities with dependent rates of interest
• Ruin theory in the linear model
• 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
• Upper bounds for ruin probabilities in two dependent risk models under rates of interest
• Two-sided bounds for ruin probability under constant interest force

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