3 papers
math.PR2020
Exponential bounds of ruin probabilities for non-homogeneous risk models
Qianqian Zhou, Alexander Sakhanenko, Junyi Guo
Lundberg-type inequalities for ruin probabilities of non-homogeneous risk models are presented in this paper. By employing martingale method, the upper bounds of ruin probabilities…
math.PR2020
Lundberg-type inequalities for non-homogeneous risk models
Qianqian Zhou, Alexander Sakhanenko, Junyi Guo
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-hom…
math.PR2018
First-passage times over moving boundaries for asymptotically stable walks
Denis Denisov, Alexander Sakhanenko, Vitali Wachtel
Let be a random walk wih independent and identically distributed increments and let be a sequence of real numbers. Let denote the first tim…