MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE
نویسندگان
چکیده
منابع مشابه
The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails
This paper investigates the ultimate ruin probability of a discrete time risk model with a positive constant interest rate. Under the assumption that the gross loss of the company within one year is subexponentially distributed, a simple asymptotic relation for the ruin probability is derived and compared to existing results.
متن کاملAsymptotics for the infinite time ruin probability of a dependent risk model with a constant interest rate and dominatedly varying-tailed claim sizes
This paper mainly considers a nonstandard risk model with a constant interest rate, where both the claim sizes and the inter-arrival times follow some certain dependence structures. When the claim sizes are dominatedly varying-tailed, asymptotics for the infinite time ruin probability of the above dependent risk model have been given.
متن کاملTwo - sided Bounds for Ruin Probability under Constant Interest Force
In this paper we investigate the ruin probability in the classical risk model under a positive constant interest force. We restrict ourselves to the case where the claim size is heavy-tailed, i.e. the equilibrium distribution function (e.d.f.) of the claim size belongs to a wide subclass (denoted A) of subexponential distributions. Two-sided estimates for the ruin probability are developed by r...
متن کاملan appropriate model for exchange rate predictability in iran: comparing potential forecastability
nowadays in trade and economic issues, prediction is proposed as the most important branch of science. existence of effective variables, caused various sectors of the economic and business executives to prefer having mechanisms which can be used in their decisions. in recent years, several advances have led to various challenges in the science of forecasting. economical managers in various fi...
asymptotics for the infinite time ruin probability of a dependent risk model with a constant interest rate and dominatedly varying-tailed claim sizes
this paper mainly considers a nonstandard risk model with a constant interest rate, where both the claim sizes and the inter-arrival times follow some certain dependence structures. when the claim sizes are dominatedly varying-tailed, asymptotics for the infinite time ruin probability of the above dependent risk model have been given.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Probability in the Engineering and Informational Sciences
سال: 2003
ISSN: 0269-9648,1469-8951
DOI: 10.1017/s0269964803172026