Upper bounds for ruin probability under time series modelsProbability in the Engineering and Informational sciences (2006)
AbstractIn 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, 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.
Citation InformationKwun Chuen Gary Chan and Hailiang Yang. "Upper bounds for ruin probability under time series models" Probability in the Engineering and Informational sciences Vol. 20 Iss. 3 (2006)
Available at: http://works.bepress.com/kcgary_chan/4/