The ruin probability of a discrete-time risk model with a one-sided linear claim process. (English) Zbl 1241.91063
Summary: The ruin probability is examined in a discrete time risk model with a constant interest rate, in which the dependent claims are assumed to have a one-sided linear structure. An explicit asymptotic formula is obtained for the ruin probability. Generalized Lundberg inequalities for the ruin probability are derived by martingale and inductive approaches.
MSC:
| 91B30 | Risk theory, insurance (MSC2010) |
| 62P05 | Applications of statistics to actuarial sciences and financial mathematics |
| 62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |
Keywords:
asymptotics; constant interest rate; discrete time risk model; Lundberg inequality; one-sided linear model; ruin probabilityReferences:
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