Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest. (Q1413384): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
links / mardi / name | links / mardi / name | ||
Revision as of 17:57, 31 January 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest. |
scientific article |
Statements
Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest. (English)
0 references
16 November 2003
0 references
According to the Sparre Andersen model, the surplus at time \(t\) is given by \[ U(t)=u+ct-Z(t),\;t\geq 0 \] where \(c>0\) is the rate of premium income, \(Z(t)\) is the aggregate claim amount up to time \(t\) and \(U(0)=u\). In the paper this model is modified, assuming that the insurer receives interest on the surplus at a constant continuously compound force of interest \(\delta\). So, denoted by \(\tau_{\delta}\) the time of ruin for the modified surplus process, the ultimate ruin probability is given by \[ \psi_{\delta}(u) =Pr\{\tau_{\delta}<\infty\}. \] The authors provide exponential type upper bounds for \(\psi_{\delta}(u)\) by means of martingale and recursive techniques. Moreover numerical comparisons of the upper bounds obtained by each techniques are presented.
0 references
Sparre Andersen model
0 references
compound Poisson model
0 references
ruin probability
0 references
adjustment coefficient
0 references