Approximating the finite-time ruin probability under interest force (Q5956046)
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scientific article; zbMATH DE number 1708394
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English | Approximating the finite-time ruin probability under interest force |
scientific article; zbMATH DE number 1708394 |
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Approximating the finite-time ruin probability under interest force (English)
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11 April 2002
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Lower and upper bounds for the finite-time probability of ruin of a risk process with a constant interest force are derived. The time horizon is divided into small intervals, and two alternative premium income functions are considered where a fixed amount is received either at the beginning or at the end of the interval. This yields a lower bound and an upper bound for the continuous time probability of ruin when the premium income is received at a constant rate over time. For both bounds a renewal equation which depends on the distribution of the present value of the aggregate claim amount in a time interval is presented. This distribution is determined through a generalization of Panjer's recursive method. Numerical results in the cases where the claim heights have an exponential distribution or a Pareto distribution are presented.
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ruin probability
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risk process
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bounds
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interest rate
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renewal equation
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constant interest force
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aggregate claim amount
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Panjer's recursive method
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exponential distribution
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Pareto distribution
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