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Upper Bounds for Ruin Probability with Stochastic Investment Return

School of Economics and Management, Tsinghua University, Beijing 100084, China
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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.

Keywords

martingalenew worse than used (NWU) distributionnew better than used (NBU) distributiondecreasing failure rate (DFR)stochastic investment returnconditional expectation

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Tsinghua Science and Technology
Volume 10 Issue 2,
April 2005
Pages 254-258
DOI: 10.1016/S1007-0214(05)70063-8

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Cite this article:
ZHANG L. Upper Bounds for Ruin Probability with Stochastic Investment Return. Tsinghua Science and Technology, 2005, 10(2): 254-258. https://doi.org/10.1016/S1007-0214(05)70063-8

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Received: 30 March 2003
Published: 01 April 2005
© Tsinghua University Press 2005