Research on ruin probability of risk model based on AR(1) series
Risk Management
2017-10-31 v1 Applications
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.
Cite
@article{arxiv.1710.10692,
title = {Research on ruin probability of risk model based on AR(1) series},
author = {Wenhao Li and Bolong Wang and Tianxiang Shen and Ronghua Zhu and Dehui Wang},
journal= {arXiv preprint arXiv:1710.10692},
year = {2017}
}
Comments
9 pages