Article ID Journal Published Year Pages File Type
1152667 Statistics & Probability Letters 2010 8 Pages PDF
Abstract
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.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Preview
Ruin probability in a one-sided linear model with constant interest rate
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