Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10429210 | Tsinghua Science & Technology | 2005 | 5 Pages |
Abstract
Risk models with stochastic investment return are widely held in practice, as well as in more challenging research fields. Risk theory is mainly concerned with ruin probability, and a tight bound for ruin probability is the best for practical use. This paper presents a discrete time risk model with stochastic investment return. Conditional expectation properties and martingale inequalities are used to obtain both exponential and non-exponential upper bounds for the ruin probability.
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Physical Sciences and Engineering
Engineering
Engineering (General)
Authors
Zhang (å¼ ä¸½å®),