Lundberg-type inequalities for non-homogeneous risk models

2020/04/23 by Qianqian Zhou, Zhou, Qianqian, Alexander Sakhanenko +3
Mathematics · #FOS: Mathematics #Probability (math.PR) #math.PR

paper · pdf · doi:10.48550/arxiv.2004.11190

arxiv created 2020/06/04 · arxiv updated 2020/06/05

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 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.

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