The Ruin Probability of a Discrete-Time Risk Model with a One-Sided Linear Claim Process

被引：18

作者：

Peng, Jiangyan ^{[1
]}

Huang, Jin ^{[1
]}

Wang, Dingcheng ^{[1
]}

机构：

[1] Univ Elect Sci & Technol China, Sch Math Sci, Chengdu 611731, Sichuan, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2011年 / 40卷 / 24期

基金：

中国国家自然科学基金;

关键词：

Asymptotics; Constant interest rate; Discrete time risk model; Lundberg inequality; One-sided linear model; Ruin probability; STOCHASTIC RETURN;

D O I：

10.1080/03610926.2010.513789

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this article, the ruin probability is examined in a discrete time risk model with a constant interest rate, in which the dependent claims are assumed to have a one-sided linear structure. An explicit asymptotic formula is obtained for the ruin probability. Generalized Lundberg inequalities for the ruin probability are derived by martingale and inductive approaches.

引用

页码：4387 / 4399

页数：13

共 50 条

[1] The ruin probabilities of a discrete time risk model with one-sided linear claim sizes and dependent risks
Liu, Rongfei
Wang, Dingcheng
Guo, Fenglong
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2018, 47 (07) : 1529 - 1550
[2] Probability of ruin in a discrete-time risk model
Picard, P
Lefèvre, C
[J]. JOURNAL OF APPLIED PROBABILITY, 2003, 40 (03) : 543 - 556
[3] Ruin probability in a one-sided linear model with constant interest rate
Peng, Jiangyan
Huang, Jin
[J]. STATISTICS & PROBABILITY LETTERS, 2010, 80 (7-8) : 662 - 669
[4] BOUNDS FOR THE RUIN PROBABILITY OF A DISCRETE-TIME RISK PROCESS
Diasparra, Maikol A.
Romera, Rosario
[J]. JOURNAL OF APPLIED PROBABILITY, 2009, 46 (01) : 99 - 112
[5] Inequalities for the ruin probability in a controlled discrete-time risk process
Diasparra, M.
Romera, R.
[J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2010, 204 (03) : 496 - 504
[6] Interrelationships between the one-sided discrete-time Fourier transform and one-sided delta transform
M. B. Naumović
[J]. Electrical Engineering, 2001, 83 : 99 - 101
[7] Interrelationships between the one-sided discrete-time Fourier transform and one-sided delta transform
Naumovic, MB
[J]. ELECTRICAL ENGINEERING, 2001, 83 (03) : 99 - 101
[8] Discounted Aggregate Claim Costs Until Ruin in the Discrete-Time Renewal Risk Model
Woo, Jae-Kyung
Liu, Haibo
[J]. METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 2018, 20 (04) : 1285 - 1318
[9] Discounted Aggregate Claim Costs Until Ruin in the Discrete-Time Renewal Risk Model
Jae-Kyung Woo
Haibo Liu
[J]. Methodology and Computing in Applied Probability, 2018, 20 : 1285 - 1318
[10] Infinite-time Ruin Probability of a Discrete-time Risk Model with Dependent Claims
Liu, Rongfei
[J]. PROCEEDINGS OF THE 2016 INTERNATIONAL CONFERENCE ON SOCIAL SCIENCE, HUMANITIES AND MODERN EDUCATION (SSHME 2016), 2016, 67 : 66 - 70

← 1 2 3 4 5 →