Upper bounds on ruin probabilities in case of negative loadings and positive interest rates

DOI10.1016/0167-6687(87)90016-3zbMath0642.62058OpenAlexW2062501262MaRDI QIDQ1101174

V. Crijns, P. Boogaert

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

zbMATH Keywords

risk theorysurplus processsafety loadinginterest effectsupper bounds for ruin probabilities

Mathematics Subject Classification ID

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

Related Items (8)

Ruin estimates under interest force ⋮ Delay in claim settlement ⋮ On the distribution of surplus immediately after ruin under interest force ⋮ Ruin theory with compounding assets -- a survey ⋮ RUIN PROBABILITY UNDER COMPOUND POISSON MODELS WITH RANDOM DISCOUNT FACTOR ⋮ Limit theorems for the present value of the surplus of an insurance portfolio ⋮ Bounding the Ruin Probability: A Martingale and A Non-Martingale Approach ⋮ Ruin probabilities in the presence of heavy-tails and interest rates

Cites Work

• Classical risk theory in an economic environment
• Ruin problems with compounding assets
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