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Article: Martingale method for ruin probability in an autoregressive model with constant interest rate
Title | Martingale method for ruin probability in an autoregressive model with constant interest rate |
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Authors | |
Keywords | Engineering Information science and information theory Abstracting, bibliographies, statistics computers |
Issue Date | 2003 |
Publisher | Cambridge University Press. The Journal's web site is located at http://journals.cambridge.org/action/displayJournal?jid=PES |
Citation | Probability In The Engineering And Informational Sciences, 2003, v. 17 n. 2, p. 183-198 How to Cite? |
Abstract | In this article, we consider a discrete-time insurance risk model. An autoregressive model is used to model both the claim process and the premium process. The probability of ruin is examined in a model with a constant interest rate. Both exponential and nonexponential upper bounds are obtained for the ruin probability of an infinite time horizon. |
Persistent Identifier | http://hdl.handle.net/10722/42254 |
ISSN | 2023 Impact Factor: 0.7 2023 SCImago Journal Rankings: 0.434 |
ISI Accession Number ID | |
References |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Yang, H | en_HK |
dc.contributor.author | Zhang, L | en_HK |
dc.date.accessioned | 2007-01-08T02:32:42Z | - |
dc.date.available | 2007-01-08T02:32:42Z | - |
dc.date.issued | 2003 | en_HK |
dc.identifier.citation | Probability In The Engineering And Informational Sciences, 2003, v. 17 n. 2, p. 183-198 | en_HK |
dc.identifier.issn | 0269-9648 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/42254 | - |
dc.description.abstract | In this article, we consider a discrete-time insurance risk model. An autoregressive model is used to model both the claim process and the premium process. The probability of ruin is examined in a model with a constant interest rate. Both exponential and nonexponential upper bounds are obtained for the ruin probability of an infinite time horizon. | en_HK |
dc.format.extent | 108776 bytes | - |
dc.format.extent | 48909 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.format.mimetype | application/pdf | - |
dc.language | eng | en_HK |
dc.publisher | Cambridge University Press. The Journal's web site is located at http://journals.cambridge.org/action/displayJournal?jid=PES | en_HK |
dc.relation.ispartof | Probability in the Engineering and Informational Sciences | en_HK |
dc.rights | Probability in the Engineering and Informational Sciences. Copyright © Cambridge University Press. | en_HK |
dc.subject | Engineering | en_HK |
dc.subject | Information science and information theory | en_HK |
dc.subject | Abstracting, bibliographies, statistics computers | en_HK |
dc.title | Martingale method for ruin probability in an autoregressive model with constant interest rate | en_HK |
dc.type | Article | en_HK |
dc.identifier.openurl | http://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0269-9648&volume=17&issue=2&spage=183&epage=198&date=2003&atitle=Martingale+method+for+ruin+probability+in+an+autoregressive+model+with+constant+interest+rate | en_HK |
dc.identifier.email | Yang, H: hlyang@hku.hk | en_HK |
dc.identifier.authority | Yang, H=rp00826 | en_HK |
dc.description.nature | published_or_final_version | en_HK |
dc.identifier.doi | 10.1017/S0269964803172026 | en_HK |
dc.identifier.scopus | eid_2-s2.0-0038380751 | en_HK |
dc.identifier.hkuros | 78491 | - |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-0038380751&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 17 | en_HK |
dc.identifier.issue | 2 | en_HK |
dc.identifier.spage | 183 | en_HK |
dc.identifier.epage | 198 | en_HK |
dc.identifier.isi | WOS:000181826300002 | - |
dc.publisher.place | United Kingdom | en_HK |
dc.identifier.scopusauthorid | Yang, H=7406559537 | en_HK |
dc.identifier.scopusauthorid | Zhang, L=36062387100 | en_HK |
dc.identifier.issnl | 0269-9648 | - |