Wenhao Li, Bo Wang, Tianxiang Shen, Ronghua Zhu, Dehui Wang
{"title":"基于AR(1)时间序列的风险模型破产概率研究","authors":"Wenhao Li, Bo Wang, Tianxiang Shen, Ronghua Zhu, Dehui Wang","doi":"10.4208/cmr.2020-0053","DOIUrl":null,"url":null,"abstract":"In this text, we establish the risk model based on AR(1) series and propose the basic model which has a dependent structure under intensity of claim number. Considering some properties of the risk model, we take advantage of newton iteration method to figure out the adjustment coefficient and estimate the exponential upper bound of ruin probability. This is significant to refine the research of ruin theory. As a result, our theory will help develop insurance industry stably.","PeriodicalId":66427,"journal":{"name":"数学研究通讯","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2017-10-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"Research on Ruin Probability of RiskModel Based on AR(1) Time Series\",\"authors\":\"Wenhao Li, Bo Wang, Tianxiang Shen, Ronghua Zhu, Dehui Wang\",\"doi\":\"10.4208/cmr.2020-0053\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In this text, we establish the risk model based on AR(1) series and propose the basic model which has a dependent structure under intensity of claim number. Considering some properties of the risk model, we take advantage of newton iteration method to figure out the adjustment coefficient and estimate the exponential upper bound of ruin probability. This is significant to refine the research of ruin theory. As a result, our theory will help develop insurance industry stably.\",\"PeriodicalId\":66427,\"journal\":{\"name\":\"数学研究通讯\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2017-10-29\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"数学研究通讯\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.4208/cmr.2020-0053\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"数学研究通讯","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.4208/cmr.2020-0053","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Research on Ruin Probability of RiskModel Based on AR(1) Time Series
In this text, we establish the risk model based on AR(1) series and propose the basic model which has a dependent structure under intensity of claim number. Considering some properties of the risk model, we take advantage of newton iteration method to figure out the adjustment coefficient and estimate the exponential upper bound of ruin probability. This is significant to refine the research of ruin theory. As a result, our theory will help develop insurance industry stably.