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The Ruin Probability of a Discrete-Time Risk Model with a One-Sided Linear Claim Process |
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| Authors: | Jiangyan Peng Jin Huang Dingcheng Wang |
| Institution: | 1. School of Mathematical Sciences, University of Electronic Science and Technology of China , Chengdu , Sichuan , P.R. China jiangeeryl@gmail.com;3. School of Mathematical Sciences, University of Electronic Science and Technology of China , Chengdu , Sichuan , P.R. China |
| Abstract: | In this article, the ruin probability is examined in a discrete time risk model with a constant interest rate, in which the dependent claims are assumed to have a one-sided linear structure. An explicit asymptotic formula is obtained for the ruin probability. Generalized Lundberg inequalities for the ruin probability are derived by martingale and inductive approaches. |
| Keywords: | Asymptotics Constant interest rate Discrete time risk model Lundberg inequality One-sided linear model Ruin probability |