MARTINGALE METHOD FOR RUIN PROBABILITY IN AN AUTOREGRESSIVE
MODEL WITH CONSTANT INTEREST RATE
Hailiang Yang a1andLihong 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.
