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Exponential bounds for ruin probability in two moving average risk models with constant interest rate

✍ Scribed by Ding Jun Yao; Rong Ming Wang

Publisher: Institute of Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
Year: 2008
Tongue: English
Weight: 525 KB
Volume: 24
Category: Article
ISSN: 1439-7617
DOI: 10.1007/s10114-007-1004-y

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Upper bounds for ruin probabilities in two dependent risk models under rates of interest

✍ Dingjun Yao; Rongming Wang 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 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