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Paper detail

Lundberg-type inequalities for non-homogeneous risk models

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 estimations obtained in this paper are more accurate and the ruin probability in non-homogeneous risk models may be fast decreasing which is impossible for the case of homogeneity.

preprint2020arXivOpen access
Qianqian ZhouAlexander SakhanenkoJunyi Guo
math.PR
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Qianqian ZhouAlexander SakhanenkoJunyi Guo

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