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Upper bounds for ruin probability with stochastic investment return

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1 Author(s)
Zhang, Lihong ; School of Economics and Management, Tsinghua University, Beijing 100084, China

Risk models with stochastic investment return are widely held in practice, as well as in more challenging research fields. Risk theory is mainly concerned with ruin probability, and a tight bound for ruin probability is the best for practical use. This paper presents a discrete time risk model with stochastic investment return. Conditional expectation properties and martingale inequalities are used to obtain both exponential and non-exponential upper bounds for the ruin probability.

Published in:

Tsinghua Science and Technology  (Volume:10 ,  Issue: 2 )