Non-exponential Bounds for Ruin Probability with Interest Effect Included

DOI10.1080/03461230050131885zbMath0922.62113OpenAlexW2029538550MaRDI QIDQ4258733

Hailiang Yang

Publication date: 14 September 1999

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230050131885

zbMATH Keywords

interest ratesruin probabilitymartingale inequalitiesLundberg's inequalityinvestment incomedecreasing failure rate distributionnew better then used distributionnew worse then used distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with continuous parameter (60G44)

Related Items (19)

On the distribution of surplus immediately before ruin under interest force ⋮ The Ruin Probability of a Discrete-Time Risk Model with a One-Sided Linear Claim Process ⋮ On the evaluation of ruin probabilities in a generalized dual binomial risk model using Markov property ⋮ On the ruin probabilities in a discrete time insurance risk process with capital injections and reinsurance ⋮ Ruin problems for an autoregressive risk model with dependent rates of interest ⋮ Ruin theory in a financial corporation model with credit risk. ⋮ Exponential bounds for ruin probability in two moving average risk models with constant interest rate ⋮ Ruin probabilities for discrete time risk models with stochastic rates of interest ⋮ Ruin probabilities with a Markov chain interest model ⋮ On the distribution of surplus immediately after ruin under interest force and subexponential claims ⋮ Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments ⋮ The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails ⋮ UPPER BOUNDS FOR RUIN PROBABILITY UNDER TIME SERIES MODELS ⋮ On the distribution of surplus immediately after ruin under interest force ⋮ Ruin problems in risk models with dependent rates of interest ⋮ Risk model with fuzzy random individual claim amount ⋮ Lundberg-type inequalities for non-homogeneous risk models ⋮ Ruin problems for a discrete time risk model with non-homogeneous conditions ⋮ Impact of Underwriting Cycles on the Solvency of an Insurance Company

Cites Work

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• Classical risk theory in an economic environment
• Refinements and distributional generalizations of Lundberg's inequality
• Lundberg bounds on the tails of compound distributions
• A non-exponential generalization of an inequality arising in queueing and insurance risk

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