UPPER BOUNDS FOR RUIN PROBABILITY UNDER TIME SERIES MODELS

DOI10.1017/S0269964806060323zbMath1183.62182OpenAlexW2114995267MaRDI QIDQ3591544

Gary K. C. Chan, Hailiang Yang

Publication date: 11 September 2007

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964806060323

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

Large deviations for Bayesian estimators in first-order autoregressive processes

Cites Work

• Limit theorems for the present value of the surplus of an insurance portfolio
• Ruin theory in the linear model
• Non-exponential Bounds for Ruin Probability with Interest Effect Included
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods

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