Exponential bounds of ruin probabilities for non-homogeneous risk models

• Autorzy: Zhou Qianqian , Sakhanenko Alexander , Guo Junyi

Identyfikatory

DOI

10.37190/0208-4147.41.2.2

• Języki publikacji: EN

Abstrakty

EN

Lundberg-type inequalities for ruin probabilities of non-homogeneous risk models are presented. By employing the martingale method, upper bounds of ruin probabilities are obtained for general risk models under weak assumptions. In addition, several risk models, including the newly defined united risk model and a quasi-periodic risk model with interest rate, are studied.

Słowa kluczowe

EN

non-homogeneous risk model; martingale method; ruin probability; Lundberg-type inequality

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2021
• Tom: Vol. 41, Fasc. 2
• Strony: 17--235
• Opis fizyczny: Bibliogr. 26 poz.

Twórcy

autor

Zhou Qianqian

• School of Sciences Nanjing University of Posts and Telecommunications Nanjing, 210023, P.R. China

autor

Sakhanenko Alexander

• Sobolev Institute of Mathematics 4 Akad. Koptyug Avenue Novosibirsk, 630090, Russia and School of Mathematical Sciences Nankai University Tianjin, 300071, P.R. China

autor

Guo Junyi

• School of Mathematical Sciences Nankai University Tianjin, 300071, P.R. China

Bibliografia

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