Exponential bounds of ruin probabilities for non-homogeneous risk models

DOI10.37190/0208-4147.41.2.2zbMath1485.91212arXiv2006.02845OpenAlexW3208000905MaRDI QIDQ5029381

Qianqian Zhou, Aleksandr Ivanovich Sakhanenko, Jun-Yi Guo

Publication date: 14 February 2022

Published in: Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.02845

zbMATH Keywords

ruin probabilityLundberg-type inequalitymartingale methodnon-homogeneous risk model

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Actuarial mathematics (91G05)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Lundberg-type inequality for an inhomogeneous renewal risk model
• Finite-time ruin probability in the inhomogeneous claim case
• Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
• Aspects of risk theory
• Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk
• Computational results on the compound binomial risk model with nonhomogeneous claim occurrences
• The finite-time ruin probability for an inhomogeneous renewal risk model
• A nonhomogeneous risk model for insurance
• Two-Sided Bounds for the Finite Time Probability of Ruin
• Ruin problems for a discrete time risk model with non-homogeneous conditions
• Probability Inequalities for the Sum of Independent Random Variables
• Present value of some insurance portfolios
• Risk Theory in a Periodic Environment: The Cramér-Lundberg Approximation and Lundberg's Inequality
• Lundberg-type inequalities for non-homogeneous risk models
• Probability Inequalities for Sums of Bounded Random Variables

This page was built for publication: Exponential bounds of ruin probabilities for non-homogeneous risk models