UPPER BOUNDS FOR RUIN PROBABILITY UNDER TIME SERIES MODELS

Gary K. C. Chan, Hailiang Yang*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)529-542
JournalProbability in the Engineering and Informational Sciences
Volume20
Issue number3
Publication statusPublished - 2006
Externally publishedYes

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