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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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πŸ“œ SIMILAR VOLUMES

Upper bounds for ruin probabilities in t
Upper bounds for ruin probabilities in two dependent risk models under rates of interest
✍ Dingjun Yao; Rongming Wang πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 104 KB

## 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