Generalized Lundberg-type upper bounds for ruin probability in an autoregressive model

摘要：

This paper investigates the ruin probability of a generalized renewal risk model with a constant interest rate, in which dependent claims are assumed to have an autoregressive structure. Generalized Lundberg-type upper bounds for the ruin probability are derived by the inductive approach.

关键词： renewal model ruin probability autoregressive model lundberg-type upper bound constant interest rate

作者: Jiangyan Peng Jin Huang

作者单位: School of Mathematical Sciences, University of Electronic Science and Technology of China Chengdu, Sichuan, 611731, P.R.China

会议类型: 国际会议

会议名称: The 2010 International Conference on Computer Application and System Modeling(2010计算机应用与系统建模国际会议 ICCASM 2010)

会议地点: 太原

会议语种:英文

页码: 650-652

在线出版日期: 2010-10-22（万方平台首次上网日期，不代表论文的发表时间）