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Research on Ruin Probability of RiskModel Based on AR(1) Time Series - MaRDI portal

Research on Ruin Probability of RiskModel Based on AR(1) Time Series

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Publication:4984026

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DOI10.4208/CMR.2020-0053zbMath1474.91032arXiv1710.10692OpenAlexW3121772640MaRDI QIDQ4984026

Tianxiang Shen, De-Hui Wang, Ronghua Zhu, Bo-Long Wang, Wen-Hao Li

Publication date: 26 April 2021

Published in: Communications in Mathematical Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1710.10692

zbMATH Keywords

ruin probability adjustment coefficient moment estimation dependent structure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Risk models (general) (91B05)

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