UPPER BOUNDS FOR RUIN PROBABILITY UNDER TIME SERIES MODELS

Gary K. C.  Chan; Hailiang Yang

UPPER BOUNDS FOR RUIN PROBABILITY UNDER TIME SERIES MODELS

Gary K. C. Chan
, Hailiang Yang^*

^*Corresponding author for this work

The University of Hong Kong

Research output: Contribution to journal › Article › peer-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 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

Cite this

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title = "UPPER BOUNDS FOR RUIN PROBABILITY UNDER TIME SERIES MODELS",

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{\textquoteright}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.",

author = "Chan, \{Gary K. C.\} and Hailiang Yang",

year = "2006",

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AU - Yang, Hailiang

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N2 - 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.

AB - 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.

M3 - Article

SN - 0269-9648

VL - 20

SP - 529

EP - 542

JO - Probability in the Engineering and Informational Sciences

JF - Probability in the Engineering and Informational Sciences

IS - 3

ER -

UPPER BOUNDS FOR RUIN PROBABILITY UNDER TIME SERIES MODELS

Abstract

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