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Ruin probabilities with dependent rates of interest

Part of: Special processes Survival analysis and censored data

Published online by Cambridge University Press:  14 July 2016

Jun Cai
Jun Cai*
Affiliation:
University of Melbourne
*
∗ Current address: Department of Statistics and Actuarial Sciences, University of Waterloo, Waterloo, Ontario, Canada N2L 3G1. Email address: [email protected]
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Abstract

In this paper, we study ruin probabilities in two generalized risk models. The effects of timing of payments and interest on the ruin probabilities in the models are considered. The rates of interest are assumed to have a dependent autoregressive structure. Generalized Lundberg inequalities for the ruin probabilities are derived by a renewal recursive technique. An illustrative application is given to the compound binomial risk process.

Keywords

Ruin probabilityrate of interestLundberg inequalityNWUCcompound binomial risk process

MSC classification

Primary: 60K10: Applications (reliability, demand theory, etc.) 60K25: Queueing theory
Secondary: 62N05: Reliability and life testing
Type
Research Papers
Information
Journal of Applied Probability , Volume 39 , Issue 2 , June 2002 , pp. 312 - 323
Copyright
Copyright © Applied Probability Trust 2002 

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