Title of article
Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest
Author/Authors
Cai، نويسنده , , Jun and Dickson، نويسنده , , David C.M.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2003
Pages
11
From page
61
To page
71
Abstract
We consider the Sparre Andersen model modified by the inclusion of interest on the surplus. Exponential type upper bounds for the ultimate ruin probability are derived by martingale and recursive techniques. Applications of the results to the compound Poisson model are given. Numerical comparisons of upper bounds derived by each technique are presented.
Keywords
Sparre Andersen model , Compound Poisson model , Adjustment Coefficient , Ruin probability , Force of interest , Lundberg’s inequality , Martingale , Optional stopping theorem
Journal title
Insurance Mathematics and Economics
Serial Year
2003
Journal title
Insurance Mathematics and Economics
Record number
1542570
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