| Exponential Bounds for Ruin Probability in Two Moving Average Risk Models with Constant Interest Rate |
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| 作者姓名： | Ding Jun YAO Rong Ming WANG |
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| 作者单位： | Department of Statistics, East China Normal University, Shanghai 200062, P. R. China |
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| 基金项目： | Research partially supported by a grant from National Natural Science Foundation of China, Grant No.10671072, by Doctoral Program Foundation of the Ministry of Education of China, Grant No. 20060269016, and by ＂Shu Guang＂ project of Shanghai Municipal Education Commission and Shanghai Education Development Foundation, Grant No. 04SG27 and by the National Basic Research Program of China （973 Program） , Grant No. 2007CB814904 |
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| 摘 要： | The authors consider two discrete-time insurance risk models. Two moving average risk models are introduced to model the surplus process, and the probabilities of ruin are examined in models with a constant interest force. Exponential bounds for ruin probabilities of an infinite time horizon are derived by the martingale method.
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| 关 键 词： | 破产概率 移动平均数模型 利率 指数限制 |
| 文章编号： | 10.1007/s10114-007-1004-y |
| 收稿时间： | 2005-12-14 |
| 修稿时间： | 2007-02-02 |
Exponential bounds for ruin probability in two moving average risk models with constant interest rate |
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| Ding Jun YAO Rong Ming WANG.Exponential Bounds for Ruin Probability in Two Moving Average Risk Models with Constant Interest Rate[J].Acta Mathematica Sinica,2008,24(2):319-328. |
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| Authors: | Ding Jun Yao Rong Ming Wang |
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| Institution: | (1) Department of Statistics, East China Normal University, Shanghai, 200062, P. R. China |
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| Abstract: | The authors consider two discrete-time insurance risk models. Two moving average risk models are introduced to model the surplus process, and the probabilities of ruin are examined in models with a constant interest force. Exponential bounds for ruin probabilities of an infinite time horizon are derived by the martingale method. |
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| Keywords: | ruin probability moving average model rate of interest exponential bound martingale |
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