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Ruin Probability in Linear Time Series Model

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

This paper analyzes a continuous time risk model with a linear model used to model the claim process. The time is discretized stochastically using the times when claims occur, using Doob’s stopping time theorem and martingale inequalities to obtain expressions for the ruin probability as well as both exponential and non-exponential upper bounds for the ruin probability for an infinite time horizon. Numerical results are included to illustrate the accuracy of the non-exponential bound.

Keywords

martingalelinear modelstopping timeruin probabilitymartingale inequalityupper bound for ruin probability

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Tsinghua Science and Technology
Volume 10 Issue 2,
April 2005
Pages 259-264
DOI: 10.1016/S1007-0214(05)70064-X

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Cite this article:
ZHANG L. Ruin Probability in Linear Time Series Model. Tsinghua Science and Technology, 2005, 10(2): 259-264. https://doi.org/10.1016/S1007-0214(05)70064-X

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Received: 21 May 2003
Published: 01 April 2005
© Tsinghua University Press 2005