Title :
Generalized Lundberg-type upper bounds for ruin probability in an autoregressive model
Author :
Peng, Jiangyan ; Huang, Jin
Author_Institution :
Sch. of Math. Sci., Univ. of Electron. Sci. & Technol. of China, Chengdu, China
Abstract :
This paper investigates the ruin probability of a generalized renewal risk model with a constant interest rate, in which dependent claims are assumed to have an autoregressive structure. Generalized Lundberg-type upper bounds for the ruin probability are derived by the inductive approach.
Keywords :
economic indicators; insurance; probability; risk management; autoregressive model; autoregressive structure; constant interest rate; generalized Lundberg-type upper bounds; inductive approach; risk model renewal; ruin probability; Autoregressive model; Constant interest rate; Lundberg-type upper bound; Renewal model; Ruin probability;
Conference_Titel :
Computer Application and System Modeling (ICCASM), 2010 International Conference on
Conference_Location :
Taiyuan
Print_ISBN :
978-1-4244-7235-2
Electronic_ISBN :
978-1-4244-7237-6
DOI :
10.1109/ICCASM.2010.5619240
