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Upperbounds on ruin probabilities in case of negative loadings and positive interest rates

✍ Scribed by P. Boogaert; V. Crijns

Book ID
107918856
Publisher
Elsevier Science
Year
1987
Tongue
English
Weight
876 KB
Volume
6
Category
Article
ISSN
0167-6687

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📜 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 📂 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