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Article: Upper bounds for ruin probability under time series models

TitleUpper bounds for ruin probability under time series models
Authors
KeywordsEngineering
Abstracting, bibliographies, statistics computers
Information science and informaiton theory
Issue Date2006
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, 2006, v. 20 n. 3, p. 529-542 How to Cite?
AbstractIn 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 Cerber [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. © 2006 Cambridge University Press.
Persistent Identifierhttp://hdl.handle.net/10722/45340
ISSN
2015 Impact Factor: 0.39
2015 SCImago Journal Rankings: 0.611
References

 

DC FieldValueLanguage
dc.contributor.authorChan, GKCen_HK
dc.contributor.authorYang, Hen_HK
dc.date.accessioned2007-10-30T06:23:17Z-
dc.date.available2007-10-30T06:23:17Z-
dc.date.issued2006en_HK
dc.identifier.citationProbability In The Engineering And Informational Sciences, 2006, v. 20 n. 3, p. 529-542en_HK
dc.identifier.issn0269-9648en_HK
dc.identifier.urihttp://hdl.handle.net/10722/45340-
dc.description.abstractIn 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 Cerber [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. © 2006 Cambridge University Press.en_HK
dc.format.extent126223 bytes-
dc.format.extent1795 bytes-
dc.format.mimetypeapplication/pdf-
dc.format.mimetypetext/plain-
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.subjectAbstracting, bibliographies, statistics computersen_HK
dc.subjectInformation science and informaiton theoryen_HK
dc.titleUpper bounds for ruin probability under time series modelsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0269-9648&volume=20&issue=3&spage=529&epage=542&date=2006&atitle=Upper+bounds+for+ruin+probability+under+time+series+modelsen_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/S0269964806060323en_HK
dc.identifier.scopuseid_2-s2.0-33745658429en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-33745658429&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume20en_HK
dc.identifier.issue3en_HK
dc.identifier.spage529en_HK
dc.identifier.epage542en_HK
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridChan, GKC=12767524700en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK

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