Ruin probabilities for risk models with constant interest
Abstract
UDC 519.21 We consider continuous-time risk models with $m$-dependent claim sizes and constant interest rate. Under some special conditions, we obtain the upper bound for the infinite-time ruin probability. Our approach is based on the martingale methods.
Fields of Study & Subjects
Probability and Risk Models
Probability and Statistical Research
Stochastic processes and financial applications
Publication details
- Journal / source
- Ukrains’kyi Matematychnyi Zhurnal
- Volume
- 71
- Issue
- 10
- Pages
- 1430–1434
- Publication date
- 9 February 2026
- Language
- EN