Upper bounds on ruin probabilities in case of negative loadings and positive interest rates (Q1101174)
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scientific article; zbMATH DE number 4046931
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| English | Upper bounds on ruin probabilities in case of negative loadings and positive interest rates |
scientific article; zbMATH DE number 4046931 |
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Upper bounds on ruin probabilities in case of negative loadings and positive interest rates (English)
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1987
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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.
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surplus process
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risk theory
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safety loading
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interest effects
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upper bounds for ruin probabilities
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0.8199225068092346
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0.8199141621589661
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0.8162828683853149
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0.8113222122192383
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0.8059645891189575
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