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UPPER BOUNDS FOR RUIN PROBABILITY UNDER TIME SERIES MODELS

Published online by Cambridge University Press:  01 June 2006

Gary K. C. Chan  and
Hailiang Yang
Gary K. C. Chan
Affiliation:
Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong, E-mails: [email protected]; [email protected]
Hailiang Yang
Affiliation:
Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong, E-mails: [email protected]; [email protected]
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Abstract

In this article, we consider an insurance risk model where the claim and premium processes follow some time series models. We first consider the model proposed in Gerber [2,3]; then a model with dependent structure between premium and claim processes modeled by using Granger's causal model is considered. By using some martingale arguments, Lundberg-type upper bounds for the ruin probabilities under both models are obtained. Some special cases are discussed.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 20 , Issue 3 , July 2006 , pp. 529 - 542
Copyright
© 2006 Cambridge University Press

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References

REFERENCES

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