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Approximation for Ruin Probability in the Sparre Andersen Model with Interest

✍ Scribed by Ji-yang Tan; Xiang-qun Yang


Publisher
Institute of Applied Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
Year
2006
Tongue
English
Weight
181 KB
Volume
22
Category
Article
ISSN
0168-9673

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Upper bounds for ruin probabilities in t
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## Abstract In this article, we consider two discrete‐time risk models, in which dependent structures of the payments and the interest force are considered. Two autoregressive moving‐average (ARMA) models are introduced to model the premiums and rates of interest, and the claims are assumed to be i