We consider continuous-time risk models with m-dependent claim sizes and constant interest rate. Under certain special conditions, we obtain the upper bound for the infinite-time ruin probability. Our approach is based on the martingale methods.
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Published in Ukrains’kyi Matematychnyi Zhurnal, Vol. 71, No. 10, pp. 1430–1434, October, 2019.
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Nguyen, H.H. Ruin Probabilities for Risk Models with Constant Interest. Ukr Math J 71, 1636–1642 (2020). https://doi.org/10.1007/s11253-020-01736-7
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DOI: https://doi.org/10.1007/s11253-020-01736-7