@article{ZHANG2005, 
author = {Lihong ZHANG},
title = {Upper Bounds for Ruin Probability with Stochastic Investment Return},
year = {2005},
journal = {Tsinghua Science and Technology},
volume = {10},
number = {2},
pages = {254-258},
keywords = {martingale, conditional expectation, new worse than used (NWU) distribution, new better than used (NBU) distribution, decreasing failure rate (DFR), stochastic investment return},
url = {https://www.sciopen.com/article/10.1016/S1007-0214(05)70063-8},
doi = {10.1016/S1007-0214(05)70063-8},
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.}
}