Ruin Probabilities with Dependent Rates of Interest and Autoregressive Moving Average Structures

This paper studies ruin probabilities in two discrete-time risk models with premiums, claims and rates of interest modelled by three autoregressive moving average processes. Generalized Lundberg inequalities for ruin probabilities are derived by using recursive technique. A numerical example is given to illustrate the applications of these probability inequalities.

Authors:

• Fenglong Guo
• Dingcheng Wang

Keywords:

• Lundberg inequality
• NWUC
• Renewal recursive technique
• Ruin probability

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