摘要
The authors consider two discrete-time insurance risk models. Two moving average risk models are introduced to model the surplus process, and the probabilities of ruin are examined in models with a constant interest force. Exponential bounds for ruin probabilities of an infinite time horizon are derived by the martingale method.
The authors consider two discrete-time insurance risk models. Two moving average risk models are introduced to model the surplus process, and the probabilities of ruin are examined in models with a constant interest force. Exponential bounds for ruin probabilities of an infinite time horizon are derived by the martingale method.
基金
a grant from National Natural Science Foundation of China,Grant No.10671072
Doctoral Program Foundation of the Ministry of Education of China,Grant No.20060269016
"Shu Guang"project of Shanghai Municipal Education Commission and Shanghai Education Development Foundation,Grant No.04SG27
the National Basic Research Program of China (973 Program),Grant No.2007CB814904
