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

Wenhao Li, Bolong Wang, Tianxiang Shen, Ronghua Zhu and Dehui Wang

Papers from arXiv.org

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.

Date: 2017-10
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1710.10692 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1710.10692

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().