Ruin Probabilities with Dependent Rates of Interest and Autoregressive Moving Average Structures
نویسندگان
چکیده
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
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