Ruin problems for an autoregressive risk model with dependent rates of interest

Ruin problems for an autoregressive risk model with dependent rates of interest

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Article ID: iaor201110774
Volume: 218
Issue: 7
Start Page Number: 3822
End Page Number: 3833
Publication Date: Dec 2011
Journal: Applied Mathematics and Computation
Authors: ,
Keywords: economics, statistics: regression
Abstract:

In this paper, we consider a discrete insurance risk model in which the claims, the premiums and the rates of interest are assumed to have dependent autoregressive structures (AR(1)). We derive recursive and integral equations for expected discounted penalty function. By these equations, we obtain generalized Lundberg inequality for the infinite time severity of ruin and hence for the infinite time ruin probability, consider asymptotic formula for the finite time ruin probability when loss distributions have regularly varying tails, and study some probability properties of the duration of ruin.

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