Ruin probability in linear time series model
نویسندگان
چکیده
منابع مشابه
Upper Bounds for Ruin Probability under Time Series Models
In this article, we consider an insurance risk model where the claim and premium processes follow some time series models+ We first consider the model proposed in Gerber @2,3#; then a model with dependent structure between premium and claim processes modeled by using Granger’s causal model is considered+ By using some martingale arguments, Lundberg-type upper bounds for the ruin probabilities u...
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ژورنال
عنوان ژورنال: Tsinghua Science and Technology
سال: 2005
ISSN: 1007-0214
DOI: 10.1016/s1007-0214(05)70064-x