Ruin probabilities for risk models with constant interest
Abstract
UDC 519.21We consider continuous-time risk models with m-dependent claim sizes and constant interest rate. Under some special conditions, we obtain the upper bound for the infinite-time ruin probability. Our approach is based on the martingale methods.
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Published
25.10.2019
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Section
Short communications
How to Cite
Nguyen, Huy Hoang. “Ruin Probabilities for Risk Models With Constant Interest”. Ukrains’kyi Matematychnyi Zhurnal, vol. 71, no. 10, Oct. 2019, pp. 1430-4, https://umj.imath.kiev.ua/index.php/umj/article/view/1525.