Exponential bounds of ruin probabilities for non-homogeneous risk models

Qianqian Zhou; Alexander Sakhanenko; Junyi Guo

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arXiv · 2006.02845

Exponential bounds of ruin probabilities for non-homogeneous risk models

Qianqian Zhou·Alexander Sakhanenko·Junyi Guo

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Abstract

Lundberg-type inequalities for ruin probabilities of non-homogeneous risk models are presented in this paper. By employing martingale method, the upper bounds of ruin probabilities are obtained for the general risk models under weak assumptions. In addition, several risk models, including the newly defined united risk model and quasi-periodic risk model with interest rate, are studied.

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Qianqian Zhou, Alexander Sakhanenko, Junyi Guo. 2020-06-04. Exponential bounds of ruin probabilities for non-homogeneous risk models. https://arxiv.org/abs/2006.02845

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