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MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE

Published online by Cambridge University Press:  27 February 2003

Hailiang Yang  and
Lihong Zhang
Hailiang Yang
Affiliation:
Department of Statistics and Actuarial Science, The University of Hong Kong, Hong Kong, E-mail: hlyang@hkusua.hku.hk
Lihong Zhang
Affiliation:
Department of Mathematical Finance, Beijing University, Beijing, People's Republic of China
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Abstract

In this article, 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 a constant interest rate. Both exponential and nonexponential upper bounds are obtained for the ruin probability of an infinite time horizon.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 17 , Issue 2 , April 2003 , pp. 183 - 198
Copyright
© 2003 Cambridge University Press

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