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Ruin Probabilities of Continuous-Time Risk Model with Dependent Claim Sizes and Interarrival Times.

Authors :
Hoang, Nguyen Huy
Ta, Bao Quoc
Source :
International Journal of Uncertainty, Fuzziness & Knowledge-Based Systems. 2020Supplement, Vol. 28, p69-80. 12p.
Publication Year :
2020

Abstract

In this paper we investigate an insurance continuous-time risk model when the claim sizes and inter-arrival times are m-dependent random variables. We provide an upper exponential bound for the ruin probability. [ABSTRACT FROM AUTHOR]

Subjects

Subjects :
*PROBABILITY theory
*RANDOM variables
*ARCHAEOLOGICAL excavations
*RISK (Insurance)
*CONTINUOUS time models
*QUEUING theory
*EXPONENTIAL sums

Details

Language :
English
ISSN :
02184885
Volume :
28
Database :
Academic Search Index
Journal :
International Journal of Uncertainty, Fuzziness & Knowledge-Based Systems
Publication Type :
Academic Journal
Accession number :
145385097
Full Text :
https://doi.org/10.1142/S0218488520400061
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