Upper bound for ruin probabilities under optimal investment and proportional reinsurance

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 📂 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