Title of article
Ruin estimates under interest force
Author/Authors
Sundt، نويسنده , , Bjّrn and Teugels، نويسنده , , Jozef L.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1995
Pages
16
From page
7
To page
22
Abstract
In the present paper we discuss infinite time ruin probabilities in continuous time in a compound Poisson process with a constant premium rate and a constant interest rate. We discuss equations for the ruin probability as well as approximations and upper and lower bounds. Two special cases are treated in more detail: the case with zero initial reserve, and the case with exponential claim sizes.
Keywords
Ruin probability , Interest-rate , Lundberg inequality , compound Poisson process
Journal title
Insurance Mathematics and Economics
Serial Year
1995
Journal title
Insurance Mathematics and Economics
Record number
1540585
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