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Martingale method for ruin probability in an autoregressive model with constant interest rate. (English) Zbl 1065.62182
Summary: We consider a discrete-time insurance risk model. An autoregressive model is used to model both the claim process and the premium process. The probability of ruin is examined in a model with constant interest rate. Both exponential and nonexponential upper bounds are obtained for the ruin probability of an infinite time horizon.

MSC:
62P05 Applications of statistics to actuarial sciences and financial mathematics
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
91B30 Risk theory, insurance (MSC2010)
60G42 Martingales with discrete parameter
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