Name
Abstract | ||
|---|---|---|
In this paper, we consider a discrete insurance risk model in which the claims, the premiums and the rates of interest are assumed to have dependent autoregressive structures (AR(1)). We derive recursive and integral equations for expected discounted penalty function. By these equations, we obtain generalized Lundberg inequality for the infinite time severity of ruin and hence for the infinite time ruin probability, consider asymptotic formula for the finite time ruin probability when loss distributions have regularly varying tails, and study some probability properties of the duration of ruin. |
Year | DOI | Venue |
|---|---|---|
2011 | 10.1016/j.amc.2011.09.030 | Applied Mathematics and Computation |
Keywords | Field | DocType |
Discrete time risk model,The discounted penalty function,Severity of ruin,Ruin probability,Asymptotic formula,Duration of ruin | Autoregressive model,Applied mathematics,Asymptotic formula,Mathematical analysis,Integral equation,Ruin theory,Statistics,First-hitting-time model,Mathematics,Risk model,Recursion,Penalty method | Journal |
Volume | Issue | ISSN |
218 | 7 | 0096-3003 |
Citations | PageRank | References |
0 | 0.34 | 0 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Jianhua Cheng | 1 | 0 | 0.34 |
| yang | 2 | 15 | 7.73 |