Exponential bounds for ruin probability in two moving average risk models with constant interest rate
type: Item
instance of: scholarly article
title: Exponential bounds for ruin probability in two moving average risk models with constant interest rate
zbMATH Open document ID: 1143.62071
author: Dingjun Yao
author: Rongming Wang
publication date: 2008-05-26T00:00:00Z
review text: 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.
reviewed by: Ryszard Doman
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 60G42
zbMATH DE Number: 5278766
zbMATH Keywords: moving average model
zbMATH Keywords: interest rate
zbMATH Keywords: exponential bounds
zbMATH Keywords: martingales
MaRDI profile type: Publication
full work available at URL: s10114-007-1004-y
OpenAlex ID: W1993647015
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DOI: 10.1007/S10114-007-1004-Y
published in: Acta Mathematica Sinica, English Series
description: scientific article; zbMATH DE number 5278766