Ruin problems for the discrete time risk process based on ARMA model

MaRDI QIDQ3180668zbMATH OpenFDO

Authors Longfei Wei, Zhenhua Bao

Publication date 6 January 2017

zbMATH Keywords

autoregressive moving average modeldiscrete time risk modelsupremum surplus before ruin

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• scientific article; zbMATH DE number 2230708
• Ruin problems for the discrete time insurance risk model with the dependent claim amount
• Ruin problems for an autoregressive risk model with dependent rates of interest
• Upper bounds for ruin probabilities in two dependent risk models under rates of interest
• Ruin problems for a discrete time risk model with random interest rate

Cited in

(3)

• The deficit at ruin in a class of discrete time risk model with dependent structure
• Ruin problems for the discrete time insurance risk model with the dependent claim amount
• scientific article; zbMATH DE number 2230708 (Why is no real title available?)

This page was built for publication: Ruin problems for the discrete time risk process based on ARMA model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3180668)