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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| Datum: | 2026 |
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| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | Englisch |
| Veröffentlicht: |
Institute of Mathematics, NAS of Ukraine
2026
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| Online Zugang: | https://umj.imath.kiev.ua/index.php/umj/article/view/1525 |
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| Назва журналу: | Ukrains’kyi Matematychnyi Zhurnal |
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Ukrains’kyi Matematychnyi Zhurnal| _version_ | 1865788469104607232 |
|---|---|
| author | Nguyen, Huy Hoang Нгуен, Хай Хоанг |
| author_facet | Nguyen, Huy Hoang Нгуен, Хай Хоанг |
| author_institution_txt_mv | [
{
"author": "Huy Hoang Nguyen",
"institution": null
}
] |
| author_sort | Nguyen, Huy Hoang |
| baseUrl_str | https://umj.imath.kiev.ua/index.php/umj/oai |
| collection | OJS |
| datestamp_date | 2026-02-09T14:34:17Z |
| description | 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. |
| doi_str_mv | 10.3842/umzh.v71i10.1525 |
| first_indexed | 2026-03-24T02:07:26Z |
| format | Article |
| fulltext | |
| id | umjimathkievua-article-1525 |
| institution | Ukrains’kyi Matematychnyi Zhurnal |
| keywords_txt_mv | keywords |
| language | English |
| last_indexed | 2026-03-24T02:07:26Z |
| publishDate | 2026 |
| publisher | Institute of Mathematics, NAS of Ukraine |
| record_format | ojs |
| resource_txt_mv | |
| spelling | umjimathkievua-article-15252026-02-09T14:34:17Z Ruin probabilities for risk models with constant interest Імовiрнiсть краху в моделях iз ризиком i сталим прибутком Nguyen, Huy Hoang Нгуен, Хай Хоанг 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. УДК 519.21 Розглянуто моделi ризику з неперервним часом, $m$-залежними розмiрами вимог i сталим прибутком. За деяких спецiальних умов отримано верхню межу для ймовiрностi краху через нескiнченний промiжок часу. Запропонований пiдхiд базується на мартингальних методах. Institute of Mathematics, NAS of Ukraine 2026-02-09 Article Article application/pdf https://umj.imath.kiev.ua/index.php/umj/article/view/1525 10.3842/umzh.v71i10.1525 Ukrains’kyi Matematychnyi Zhurnal; Vol. 71 No. 10 (2019); 1430-1434 Український математичний журнал; Том 71 № 10 (2019); 1430-1434 1027-3190 en https://umj.imath.kiev.ua/index.php/umj/article/view/1525/508 Copyright (c) 2019 Nguyen Huy Hoang |
| spellingShingle | Nguyen, Huy Hoang Нгуен, Хай Хоанг Ruin probabilities for risk models with constant interest |
| title | Ruin probabilities for risk models with constant interest |
| title_alt | Імовiрнiсть краху в моделях iз ризиком i сталим прибутком |
| title_full | Ruin probabilities for risk models with constant interest |
| title_fullStr | Ruin probabilities for risk models with constant interest |
| title_full_unstemmed | Ruin probabilities for risk models with constant interest |
| title_short | Ruin probabilities for risk models with constant interest |
| title_sort | ruin probabilities for risk models with constant interest |
| url | https://umj.imath.kiev.ua/index.php/umj/article/view/1525 |
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