Upper bounds on ruin probabilities in case of negative loadings and positive interest rates (Q1101174): Difference between revisions

For the classical surplus process of risk theory it is well known that the ruin probability equals 1 if the safety loading is negative. This may no longer be true if one takes into account e.g. interest effects. For this case the authors derive upper bounds for ruin probabilities using methods similar to \textit{F. Delbaen} and \textit{J. Haezendonck} [ibid. 6, 85-116 (1987; Zbl 0622.62098)]. Numerical examples are given.