Exponential Bounds for Ruin Probability in Two Moving Average Risk Models with Constant Interest Rate

作     者：Ding Jun YAO Rong Ming WANG 

作者机构：Department of Statistics East China Normal University Shanghai 200062 P. R. China 

出 版 物：《Acta Mathematica Sinica,English Series》 (数学学报（英文版）)

年 卷 期：2008年第24卷第2期

页      面：319-328页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：a grant from National Natural Science Foundation of China,Grant No.10671072 Doctoral Program Foundation of the Ministry of Education of China,Grant No.20060269016 "Shu Guang"project of Shanghai Municipal Education Commission and Shanghai Education Development Foundation,Grant No.04SG27 the National Basic Research Program of China (973 Program),Grant No.2007CB814904 

主　　题：ruin probability moving average model rate of interest exponential bound martingale 

摘      要：The authors consider two discrete-time insurance risk models. Two moving average risk models are introduced to model the surplus process, and the probabilities of ruin are examined in models with a constant interest force. Exponential bounds for ruin probabilities of an infinite time horizon are derived by the martingale method.