Exponential bounds for ruin probability in two moving average risk models with constant interest rate
The authors consider two discrete-time moving average risk models with a constant interest rate. The first model generalizes the one by \textit{H. U. Gerber} [Insur. Math. Econ. 1, 177--184 (1982; Zbl 0505.62086)], and the moving average is used to model the annual gains. The second model extends the risk model by \textit{H. Yang} [Scand. Actuarial J. 1999, No. 1, 66--79 (1999; Zbl 0922.62113)] to the case where both the premiums process and the claims process are correlated. For the two considered models, the authors derive exponential bounds for the ruin probability of an infinite time horizon using a martingale approach.
scientific article; zbMATH DE number 5278766