Exponential bounds of ruin probabilities for non-homogeneous risk models

Exponential bounds of ruin probabilities for non-homogeneous risk models Full article

Journal

Probability and Mathematical Statistics
ISSN: 0208-4147

Output data

Year: 2021, Volume: 41, Number: 2, Pages: 217-236 Pages count : 20 DOI: 10.37190/0208-4147.41.2.2

Tags

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

Authors

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

Affiliations

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

Funding (1)

Sobolev Institute of Mathematics

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

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Scopus	1