@article{ZHANG2005, 
author = {Lihong ZHANG},
title = {Ruin Probability in Linear Time Series Model},
year = {2005},
journal = {Tsinghua Science and Technology},
volume = {10},
number = {2},
pages = {259-264},
keywords = {linear model, martingale, ruin probability, stopping time, martingale inequality, upper bound for ruin probability},
url = {https://www.sciopen.com/article/10.1016/S1007-0214(05)70064-X},
doi = {10.1016/S1007-0214(05)70064-X},
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.}
}