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: | Wang Dehui, Cheng Jianhua |
Keywords: | economics, statistics: regression |
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.