Ruin probabilities with dependent rates of interest. (English) Zbl 1007.60096

Cai, Jun

J. Appl. Probab. 39, No. 2, 312-323 (2002).

Author’s summary: We study ruin probabilities in two generalized risk models. The effects of timing of payments and interest on the ruin probabilities in the models are considered. The rates of interest are assumed to have a dependent autoregressive structure. Generalized Lundberg inequalities for the ruin probabilities are derived by a renewal recursive technique. An illustrative application is given to the compound binomial risk process.

Reviewer: Wolf Rüdiger Heilmann (München)

MSC:

60K10	Applications of renewal theory (reliability, demand theory, etc.)
91B30	Risk theory, insurance (MSC2010)
62P05	Applications of statistics to actuarial sciences and financial mathematics

Keywords:

ruin probability; rate of interest; Lundberg inequality