Title :
Uppers Bounds for Ultimate Ruin Probability in the Discrete Model with Stochastic Interest
Author :
Wang, Haohua ; Ou, Yigui
Author_Institution :
Dept. of Appl. Math., Hainan Univ., Haikou, China
Abstract :
Risk models with interest return are widely held in practice, as well as in more challenging research fields. Risk theory is mainly concerned with ruin probability, and the ultimate ruin probability is the better for practical use. This paper presents a discrete time risk model with stochastic interest. Exponential type upper bounds for the ultimate ruin probability are delivered by martingale and recursive techniques. Numerical comparisons of bounds derived by each technique are presented.
Keywords :
risk analysis; stochastic processes; discrete model; discrete time risk model; martingale techniques; recursive techniques; stochastic interest; ultimate ruin probability; Economic indicators; Electronic mail; Insurance; Mathematical model; Mathematics; Random variables; Stochastic processes; Upper bound; dicrete model; martingales; recursive techniques; stopping times;
Conference_Titel :
Information and Computing (ICIC), 2010 Third International Conference on
Conference_Location :
Wuxi, Jiang Su
Print_ISBN :
978-1-4244-7081-5
Electronic_ISBN :
978-1-4244-7082-2
DOI :
10.1109/ICIC.2010.227
