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Research on ruin probability of risk model based on AR(1) series

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Listed:
  • Wenhao Li
  • Bolong Wang
  • Tianxiang Shen
  • Ronghua Zhu
  • Dehui Wang

Abstract

In this text, we establish the risk model based on AR(1) series and propose the basic model which has a dependent structure under intensity of claim number. Considering some properties of the risk model, we take advantage of newton iteration method to figure out the adjustment coefficient and estimate the exponential upper bound of ruin probability. This is significant to refine the research of ruin theory. As a result, our theory will help develop insurance industry stably.

Suggested Citation

  • Wenhao Li & Bolong Wang & Tianxiang Shen & Ronghua Zhu & Dehui Wang, 2017. "Research on ruin probability of risk model based on AR(1) series," Papers 1710.10692, arXiv.org.
  • Handle: RePEc:arx:papers:1710.10692
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    References listed on IDEAS

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    1. Albrecher, Hansjorg & Boxma, Onno J., 2004. "A ruin model with dependence between claim sizes and claim intervals," Insurance: Mathematics and Economics, Elsevier, vol. 35(2), pages 245-254, October.
    2. Gao, Qi-bing & Wu, Yao-hua & Zhu, Chun-hua & Wei, Guang-hua, 2007. "Ruin problems in risk models with dependent rates of interest," Statistics & Probability Letters, Elsevier, vol. 77(8), pages 761-768, April.
    3. Fu, Ke-Ang & Ng, Cheuk Yin Andrew, 2014. "Asymptotics for the ruin probability of a time-dependent renewal risk model with geometric Lévy process investment returns and dominatedly-varying-tailed claims," Insurance: Mathematics and Economics, Elsevier, vol. 56(C), pages 80-87.
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