The probability of ruin in a reinsurance risk model with m-dependence
assumptions
Abstract
In this article, we investigate a discrete-time risk model. The risk
model includes the quota- (α,β) reinsurance contract effect on the
surplus process. The premium process and claim process are assumed to be
m-dependent sequences of i.i.d. non-negative random variables. Using
Martingale and inductive methods, we obtain upper bounds for ultimate
ruin probability of an insurance company. Finally, we present a
numerical example to show the efficiency of the methods.