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Ruin problems for an autoregressive risk model with dependent rates of interest

✍ Scribed by Jianhua Cheng; Dehui Wang

Book ID
113439849
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
252 KB
Volume
218
Category
Article
ISSN
0096-3003

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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