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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
Yang, HZhang, L
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?
DOI: http://dx.doi.org/10.1017/S0269964803172026
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
0269-9648
2021 Impact Factor: 1.561
2020 SCImago Journal Rankings: 0.406
ISI Accession Number ID
WOS:000181826300002
References
References in Scopus

 

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.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.identifier.isiWOS:000181826300002-
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK
dc.identifier.scopusauthoridZhang, L=36062387100en_HK
dc.identifier.issnl0269-9648-

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