Ruin probabilities for risk models with constant interest
UDC 519.21 We consider continuous-time risk models with $m$-dependent claim sizes and constant interest rate. Under some special conditions, we obtain the upper bound for the infinite-time ruin probability. Our approach is based on the martingale methods.
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| Date: | 2026 |
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| Main Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
Institute of Mathematics, NAS of Ukraine
2026
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| Online Access: | https://umj.imath.kiev.ua/index.php/umj/article/view/1525 |
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| Journal Title: | Ukrains’kyi Matematychnyi Zhurnal |
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Ukrains’kyi Matematychnyi Zhurnal| Summary: | UDC 519.21
We consider continuous-time risk models with $m$-dependent claim sizes and constant interest rate. Under some special conditions, we obtain the upper bound for the infinite-time ruin probability. Our approach is based on the martingale methods. |
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| DOI: | 10.3842/umzh.v71i10.1525 |