Upper bounds for ultimate ruin probabilities in the Sparre Andersen risk model with interest and a nonlinear dividend barrier (Q2518954): Difference between revisions
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Latest revision as of 04:38, 19 December 2024
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| English | Upper bounds for ultimate ruin probabilities in the Sparre Andersen risk model with interest and a nonlinear dividend barrier |
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Upper bounds for ultimate ruin probabilities in the Sparre Andersen risk model with interest and a nonlinear dividend barrier (English)
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21 January 2009
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The authors derive the Lundberg-type upper bounds for the ultimate ruin probability in the classical risk model with constant force of interest and a nonlinear dividend barrier. More precise upper bounds for the ultimate ruin probabilities are given in case when the claim sizes are exponentially distributed with parameter \(\alpha> 0\).
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Sparre Andersen risk model
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constant force of interest
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nonlinear divident barrier
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ultimate ruin probabilites
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