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Article: Upper bounds for ruin probability under time series models

TitleUpper bounds for ruin probability under time series models
Authors
Chan, GKCYang, H
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?
DOI: http://dx.doi.org/10.1017/S0269964806060323
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
0269-9648
2021 Impact Factor: 1.561
2020 SCImago Journal Rankings: 0.406
ISI Accession Number ID
WOS:000239073700009
References
References in Scopus

 

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.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.identifier.isiWOS:000239073700009-
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridChan, GKC=12767524700en_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK
dc.identifier.issnl0269-9648-

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