𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Ruin Probabilities under a Markovian Risk Model

✍ Scribed by Han-xing Wang; Da-fan Fang; Mao-ning Tang

Publisher
Institute of Applied Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
Year
2003
Tongue
English
Weight
178 KB
Volume
19
Category
Article
ISSN
0168-9673

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Ruin probabilities in perturbed risk mod
Ruin probabilities in perturbed risk models
✍ Sabine Schlegel πŸ“‚ Article πŸ“… 1998 πŸ› Elsevier Science 🌐 English βš– 588 KB

We consider the asymptotical behaviour of the ruin function in perturbed and unperturbed non-standard risk models when the initial risk reserve tends to infinity. We give a characterization of this behaviour in terms of the unperturbed ruin function and the perturbation law provided that at least on

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