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.
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 language | English |
|---|---|
| Pages (from-to) | 529-542 |
| Journal | Probability in the Engineering and Informational Sciences |
| Volume | 20 |
| Issue number | 3 |
| Publication status | Published - 2006 |
| Externally published | Yes |