A Lundberg-type inequality for an inhomogeneous renewal risk model

DOI10.15559/15-VMSTA30zbMath1414.91157arXiv1508.02853MaRDI QIDQ340773

Ieva Marija Andrulytė, Emilija Bernackaitė, Dominyka Kievinaitė, Jonas Šiaulys

Publication date: 15 November 2016

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.02853

zbMATH Keywords

inhomogeneous modelruin probabilityexponential boundLundberg-type inequalityrenewal model

Mathematics Subject Classification ID

Related Items (8)

The finite-time ruin probability for an inhomogeneous renewal risk model ⋮ Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk ⋮ Exponential moments of simultaneous hitting time for non-atomic Markov chains ⋮ Computable bounds of exponential moments of simultaneous hitting time for two time-inhomogeneous atomic Markov chains ⋮ The risk model with stochastic premiums, dependence and a threshold dividend strategy ⋮ Lundberg-type inequalities for non-homogeneous risk models ⋮ Unnamed Item ⋮ Exponential bounds of ruin probabilities for non-homogeneous risk models

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