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Article: Martingale method for ruin probability in an autoregressive model with constant interest rate

TitleMartingale method for ruin probability in an autoregressive model with constant interest rate
Authors
KeywordsEngineering
Information science and information theory
Abstracting, bibliographies, statistics computers
Issue Date2003
PublisherCambridge 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?
AbstractIn 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 Identifierhttp://hdl.handle.net/10722/42254
ISSN
2015 Impact Factor: 0.39
2015 SCImago Journal Rankings: 0.611
References

 

DC FieldValueLanguage
dc.contributor.authorYang, Hen_HK
dc.contributor.authorZhang, Len_HK
dc.date.accessioned2007-01-08T02:32:42Z-
dc.date.available2007-01-08T02:32:42Z-
dc.date.issued2003en_HK
dc.identifier.citationProbability In The Engineering And Informational Sciences, 2003, v. 17 n. 2, p. 183-198en_HK
dc.identifier.issn0269-9648en_HK
dc.identifier.urihttp://hdl.handle.net/10722/42254-
dc.description.abstractIn 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.extent108776 bytes-
dc.format.extent48909 bytes-
dc.format.mimetypeapplication/pdf-
dc.format.mimetypeapplication/pdf-
dc.languageengen_HK
dc.publisherCambridge University Press. The Journal's web site is located at http://journals.cambridge.org/action/displayJournal?jid=PESen_HK
dc.relation.ispartofProbability in the Engineering and Informational Sciencesen_HK
dc.rightsProbability in the Engineering and Informational Sciences. Copyright © Cambridge University Press.en_HK
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.subjectEngineeringen_HK
dc.subjectInformation science and information theoryen_HK
dc.subjectAbstracting, bibliographies, statistics computersen_HK
dc.titleMartingale method for ruin probability in an autoregressive model with constant interest rateen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://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+rateen_HK
dc.identifier.emailYang, H: hlyang@hku.hken_HK
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturepublished_or_final_versionen_HK
dc.identifier.doi10.1017/S0269964803172026en_HK
dc.identifier.scopuseid_2-s2.0-0038380751en_HK
dc.identifier.hkuros78491-
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-0038380751&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume17en_HK
dc.identifier.issue2en_HK
dc.identifier.spage183en_HK
dc.identifier.epage198en_HK
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK
dc.identifier.scopusauthoridZhang, L=36062387100en_HK

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