Excellence in Research and Innovation for Humanity

Dingcheng Wang

Publications

1

Publications

1
5556
Ruin Probabilities with Dependent Rates of Interest and Autoregressive Moving Average Structures
Abstract:
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.
Keywords:
Lundberg inequality, NWUC, Renewal recursive technique, Ruin probability