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HOANG NGUYEN HUY
HOANG NGUYEN HUY
Senior Lecturer at Department of Mathematics and Statistics
University of Finance and Marketing, Hochiminh City, Vietnam

Public Documents 1
The probability of ruin in a reinsurance risk model with m-dependence assumptions
HOANG NGUYEN HUY
NGUYEN CHUNG

HOANG NGUYEN HUY

and 1 more

October 01, 2021
In this article, we investigate a discrete-time risk model. The risk model includes the quota- (α,β) reinsurance contract effect on the surplus process. The premium process and claim process are assumed to be m-dependent sequences of i.i.d. non-negative random variables. Using Martingale and inductive methods, we obtain upper bounds for ultimate ruin probability of an insurance company. Finally, we present a numerical example to show the efficiency of the methods.

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