Abstract
In this article, we consider a discrete-time insurance risk model. An autoregressive model is used to model both the claim process and the premium process. The probability of ruin is examined in a model with a constant interest rate. Both exponential and nonexponential upper bounds are obtained for the ruin probability of an infinite time horizon.
| Original language | English |
|---|---|
| Pages (from-to) | 183-198 |
| Journal | Probability in the Engineering and Informational Sciences |
| Volume | 17 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 2003 |
| Externally published | Yes |