An upper bound for the probability of ultimate ruin

DOI10.1080/03461238.1994.10413935MaRDI QIDQ4322968zbMATH OpenOpenAlexFDO

Authors David C. M. Dickson

Publication date 13 February 1995

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

Full work available at URL https://doi.org/10.1080/03461238.1994.10413935

zbMATH Keywords

compound Poisson risk modelcontinuous time risk modelindividual claim amount distributionLundberg's inequalitymoment generating functionprobability of ultimate ruinupper bound

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Ordering of risks and ruin probabilities

Cited in

(20)

• Aging properties and bounds for ruin probabilities and stop-loss premiums
• Some improvements on the Lundberg bound for the ruin probability
• Generalization of Lundberg's inequality for the case of stock insurance company
• Refinements of bounds for tails of compound distributions and ruin probabilities
• Interval estimation of the ruin probability in the classical compound Poisson risk model
• A local limit theorem for the probability of ruin
• Probability of bank bankruptcy under unbounded payments
• Bounding the ruin probability under force of interest
• Bounding the ruin probability: a Martingale and a non-Martingale approach
• Some approximations of ultimate ruin probability for finite initial surplus
• scientific article; zbMATH DE number 4005410 (Why is no real title available?)
• Entropy, a useful concept in risk theory
• Two-Sided Bounds for Ruin Probabilities when the Adjustment Coefficient does not Exist
• Upper bounds for ruin probabilities under model uncertainty
• Non-exponential bounds for stop-loss premiums and ruin probabilities
• Two-sided bounds for renewal equations and ruin quantities
• Improved bounds on tails of convolutions of compound distributions: application to ruin probabilities for the risk process perturbed by diffusion
• Exponential and Pareto-type bounds for the renewal function and the excess lifetime of a renewal process
• Bounds for classical ruin probabilities
• Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model

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