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 |
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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 |