Exponential bounds for ruin probability in two moving average risk models with constant interest rate |
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| Authors: | Ding Jun Yao Rong Ming Wang |
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| Affiliation: | (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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