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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.

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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