Ruin probability in a one-sided linear model with constant interest rate

This paper investigates the ruin probability of a generalized renewal model with a constant interest rate, in which a one-sided linear model is used for the dependent claim process. An explicit asymptotic formula and an exponential upper bound are obtained for the ruin probability.

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Year of publication:	2010
Authors:	Peng, Jiangyan ; Huang, Jin
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 80.2010, 7-8, p. 662-669
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008551134