Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.

DOI10.1016/S0167-6687(02)00204-4zbMath1074.91028OpenAlexW2027056093MaRDI QIDQ1413384

Jun Cai, David C. M. Dickson

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(02)00204-4

zbMATH Keywords

ruin probabilitycompound Poisson modeladjustment coefficientSparre Andersen model

Mathematics Subject Classification ID

Stochastic models in economics (91B70)

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Cites Work

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• Aspects of risk theory
• The adjustment function in ruin estimates under interest force
• RPA pathwise derivative estimation of ruin probabilities
• Lundberg approximations for compound distributions with insurance applications
• Ruin estimates under interest force
• Ruin probabilities with compounding assets

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