Exponential bounds of ruin probabilities for non-homogeneous risk models | Sciact - Система учета научной деятельности ИМ СО РАН

Exponential bounds of ruin probabilities for non-homogeneous risk models Научная публикация

Журнал

Probability and Mathematical Statistics
ISSN: 0208-4147

Вых. Данные

Год: 2021, Том: 41, Номер: 2, Страницы: 217-236 Страниц : 20 DOI: 10.37190/0208-4147.41.2.2

Ключевые слова

Lundberg-type inequality; Martingale method; Non-homogeneous risk model; Ruin probability

Авторы

Zhou Q. ¹ , Sakhanenko A. ³ , Guo J. ²

Организации

1	School of Sciences Nanjing University of Posts and Telecommunications, Nanjing, 210023, China
2	School of Mathematical Sciences Nankai University, Tianjin, 300071, China
3	Sobolev Institute of Mathematics, 4 Akad. Koptyug Avenue, Novosibirsk, 630090, Russian Federation

Информация о финансировании (1)

Институт математики им. С.Л. Соболева СО РАН

0314-2019-0008

Lundberg-type inequalities for ruin probabilities of non-homogeneous risk models are presented. By employing the martingale method, upper bounds of ruin probabilities are obtained for general risk models under weak assumptions. In addition, several risk models, including the newly defined united risk model and a quasi-periodic risk model with interest rate, are studied. © Probability and Mathematical Statistics, 2021.

Zhou Q. , Sakhanenko A. , Guo J.
Exponential bounds of ruin probabilities for non-homogeneous risk models
Probability and Mathematical Statistics. 2021. V.41. N2. P.217-236. DOI: 10.37190/0208-4147.41.2.2 WOS Scopus OpenAlex

Web of science:	WOS:000874398500002
Scopus:	2-s2.0-85122002282
OpenAlex:	W3208000905

БД	Цитирований
Scopus	1