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Lundberg-type inequalities for non-homogeneous risk models. / Zhou, Qianqian; Sakhanenko, Alexander; Guo, Junyi.

In: Stochastic Models, Vol. 36, No. 4, 01.10.2020, p. 661-680.

Research output: Contribution to journal › Article › peer-review

Harvard

Zhou, Q, Sakhanenko, A & Guo, J 2020, 'Lundberg-type inequalities for non-homogeneous risk models', Stochastic Models, vol. 36, no. 4, pp. 661-680. https://doi.org/10.1080/15326349.2020.1835490

APA

Zhou, Q., Sakhanenko, A., & Guo, J. (2020). Lundberg-type inequalities for non-homogeneous risk models. Stochastic Models, 36(4), 661-680. https://doi.org/10.1080/15326349.2020.1835490

Vancouver

Zhou Q, Sakhanenko A, Guo J. Lundberg-type inequalities for non-homogeneous risk models. Stochastic Models. 2020 Oct 1;36(4):661-680. doi: 10.1080/15326349.2020.1835490

Author

Zhou, Qianqian ; Sakhanenko, Alexander ; Guo, Junyi. / Lundberg-type inequalities for non-homogeneous risk models. In: Stochastic Models. 2020 ; Vol. 36, No. 4. pp. 661-680.

BibTeX

@article{bf0c05cdb9b64720a0214d34689d941b,
title = "Lundberg-type inequalities for non-homogeneous risk models",
abstract = "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 the estimations obtained in this paper are more accurate than those in the literatures and the ruin probabilities of non-homogeneous risk models may be fast decreasing which is impossible in the case of homogeneity.",
keywords = "Lundberg-type inequality, Martingale method, Non-homogeneous risk model, ruin probability, TIME RUIN PROBABILITY",
author = "Qianqian Zhou and Alexander Sakhanenko and Junyi Guo",
note = "Funding Information: This work was supported by NSFC (Nos. 11911530091, 11931018), Tianjin NSF (No. 19JCYBJC30400) and the program of fundamental scientific researches of the SB RAS I.1.3., project 0314-2019-0008. Publisher Copyright: {\textcopyright} 2020 Taylor & Francis Group, LLC. Copyright: Copyright 2020 Elsevier B.V., All rights reserved.",
year = "2020",
month = oct,
day = "1",
doi = "10.1080/15326349.2020.1835490",
language = "English",
volume = "36",
pages = "661--680",
journal = "Stochastic Models",
issn = "1532-6349",
publisher = "Taylor and Francis Ltd.",
number = "4",

}

RIS

TY - JOUR

T1 - Lundberg-type inequalities for non-homogeneous risk models

AU - Zhou, Qianqian

AU - Sakhanenko, Alexander

AU - Guo, Junyi

N1 - Funding Information: This work was supported by NSFC (Nos. 11911530091, 11931018), Tianjin NSF (No. 19JCYBJC30400) and the program of fundamental scientific researches of the SB RAS I.1.3., project 0314-2019-0008. Publisher Copyright: © 2020 Taylor & Francis Group, LLC. Copyright: Copyright 2020 Elsevier B.V., All rights reserved.

PY - 2020/10/1

Y1 - 2020/10/1

N2 - 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 the estimations obtained in this paper are more accurate than those in the literatures and the ruin probabilities of non-homogeneous risk models may be fast decreasing which is impossible in the case of homogeneity.

AB - 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 the estimations obtained in this paper are more accurate than those in the literatures and the ruin probabilities of non-homogeneous risk models may be fast decreasing which is impossible in the case of homogeneity.

KW - Lundberg-type inequality

KW - Martingale method

KW - Non-homogeneous risk model

KW - ruin probability

KW - TIME RUIN PROBABILITY

UR - http://www.scopus.com/inward/record.url?scp=85094911408&partnerID=8YFLogxK

U2 - 10.1080/15326349.2020.1835490

DO - 10.1080/15326349.2020.1835490

M3 - Article

AN - SCOPUS:85094911408

VL - 36

SP - 661

EP - 680

JO - Stochastic Models

JF - Stochastic Models

SN - 1532-6349

IS - 4

ER -

ID: 27144909