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Bounds on Gambler's Ruin Probabilities in Terms of Moments

✍ Scribed by S. N. Ethier; Davar Khoshnevisan


Book ID
110340477
Publisher
Springer US
Year
2002
Tongue
English
Weight
109 KB
Volume
4
Category
Article
ISSN
1387-5841

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Upper bounds for ruin probabilities in t
✍ 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