Ruin Probabilities with Dependent Rates of Interest and Autoregressive Moving Average Structures
This paper studies ruin probabilities in two discrete-time
risk models with premiums, claims and rates of interest modelled by
three autoregressive moving average processes. Generalized Lundberg
inequalities for ruin probabilities are derived by using recursive
technique. A numerical example is given to illustrate the applications
of these probability inequalities.
Lundberg inequality, NWUC, Renewal recursive technique,