Lundberg-type inequalities for non-homogeneous risk models
Probability
2020-06-05 v2
Abstract
In this paper, we investigate the ruin probabilities of non-homogeneous risk models. By employing martingale method, the Lundberg-type inequalities of ruin probabilities of non-homogeneous renewal risk models are obtained under weak assumptions. In addition, for the periodic and quasi-periodic risk models the adjustment coefficients of the Lundberg-type inequalities are obtained. Finally, examples are presented to show that estimations obtained in this paper are more accurate and the ruin probability in non-homogeneous risk models may be fast decreasing which is impossible for the case of homogeneity.
Cite
@article{arxiv.2004.11190,
title = {Lundberg-type inequalities for non-homogeneous risk models},
author = {Qianqian Zhou and Alexander Sakhanenko and Junyi Guo},
journal= {arXiv preprint arXiv:2004.11190},
year = {2020}
}