Upper bounds on ruin probabilities in case of negative loadings and positive interest rates
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Publication:1101174
DOI10.1016/0167-6687(87)90016-3zbMath0642.62058MaRDI QIDQ1101174
Publication date: 1987
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6687(87)90016-3
62P05: Applications of statistics to actuarial sciences and financial mathematics
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RUIN PROBABILITY UNDER COMPOUND POISSON MODELS WITH RANDOM DISCOUNT FACTOR, On the distribution of surplus immediately after ruin under interest force, Delay in claim settlement, Ruin theory with compounding assets -- a survey, Limit theorems for the present value of the surplus of an insurance portfolio, Ruin estimates under interest force, Bounding the Ruin Probability: A Martingale and A Non-Martingale Approach, Ruin probabilities in the presence of heavy-tails and interest rates
Cites Work