Exponential bounds for ruin probability in two moving average risk models with constant interest rate

DOI10.1007/s10114-007-1004-yzbMath1143.62071OpenAlexW1993647015MaRDI QIDQ925963

Ding Jun Yao, Rong-Ming Wang

Publication date: 26 May 2008

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-007-1004-y

zbMATH Keywords

martingalesexponential boundsinterest ratemoving average model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with discrete parameter (60G42)

Related Items

Upper bounds for ruin probabilities in two dependent risk models under rates of interest

Cites Work

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• MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE
• DISCRETE TIME RISK MODELS UNDER RATES OF INTEREST