𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Upper bounds for ruin probabilities under stochastic interest rate and optimal investment strategies

✍ Scribed by Jin Zhu Li, Rong Wu

Book ID
113057254
Publisher
Institute of Mathematics, Chinese Academy of Sciences and Chinese Mathematical Society
Year
2012
Tongue
English
Weight
214 KB
Volume
28
Category
Article
ISSN
1439-7617

No coin nor oath required. For personal study only.

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