Probability in the Engineering and Informational Sciences



MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE MODEL WITH CONSTANT INTEREST RATE


Hailiang  Yang  a1 and Lihong  Zhang  a2
a1 Department of Statistics and Actuarial Science, The University of Hong Kong, Hong Kong, E-mail: hlyang@hkusua.hku.hk
a2 Department of Mathematical Finance, Beijing University, Beijing, People's Republic of China

Abstract

In this article, we consider a discrete-time insurance risk model. An autoregressive model is used to model both the claim process and the premium process. The probability of ruin is examined in a model with a constant interest rate. Both exponential and nonexponential upper bounds are obtained for the ruin probability of an infinite time horizon.