Upper bounds for ultimate ruin probabilities in the Sparre Andersen risk model with interest and a nonlinear dividend barrier

DOI10.1016/j.spl.2008.07.016zbMath1166.60029OpenAlexW2068452107MaRDI QIDQ2518954

Wenquan Yang, Hu, Yijun

Publication date: 21 January 2009

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2008.07.016

zbMATH Keywords

Sparre Andersen risk modelconstant force of interestnonlinear divident barrierultimate ruin probabilites

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

Cites Work

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