Lundberg-type inequalities for non-homogeneous risk models
| Title: | Lundberg-type inequalities for non-homogeneous risk models |
|---|---|
| Authors: | Zhou, Qianqian, Sakhanenko, Alexander, Guo, Junyi |
| Publication Year: | 2020 |
| Collection: | Mathematics |
| Subject Terms: | Mathematics - Probability |
| More Details: | 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. |
| Document Type: | Working Paper |
| Access URL: | http://arxiv.org/abs/2004.11190 |
| Accession Number: | edsarx.2004.11190 |
| Database: | arXiv |
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