Open AccessUpper bounds for ruin probabilities in an autoregressive risk model with a Markov chain interest rate
Author(s) -
Lin Xu,
Rongming Wang
Publication year - 2006
Publication title -
journal of industrial and management optimization
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.325
H-Index - 32
eISSN - 1553-166X
pISSN - 1547-5816
DOI - 10.3934/jimo.2006.2.165
Subject(s) - ruin theory , markov chain , mathematics , autoregressive model , first hitting time model , upper and lower bounds , state space , finite state , risk model , statistics , mathematical analysis