Non-exponential Bounds for Ruin Probability with Interest Effect Included (Q4258733)
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scientific article; zbMATH DE number 1336597
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| English | Non-exponential Bounds for Ruin Probability with Interest Effect Included |
scientific article; zbMATH DE number 1336597 |
Statements
Non-exponential Bounds for Ruin Probability with Interest Effect Included (English)
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14 September 1999
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ruin probability
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martingale inequalities
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Lundberg's inequality
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new worse then used distribution
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new better then used distribution
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decreasing failure rate distribution
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investment income
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interest rates
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0.8568447232246399
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0.8502982258796692
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0.8193570375442505
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0.8032571077346802
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0.8021613359451294
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The first part of this article demonstrates how martingale techniques, in particularly simple martingale inequalities, can be used to obtain both exponential and non-exponential upper bounds for ruin probabilities. In the second part, the author discusses a risk model that includes the interest effect to the surplus process and obtains the upper bounds using the martingale approach.
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