Upper Bounds for Ruin Probability under Time Series Models
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چکیده
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 under both models are obtained+ Some special cases are discussed+
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تاریخ انتشار 2006