Non-exponential Bounds for Ruin Probability with Interest Effect Included

DOI10.1080/03461230050131885MaRDI QIDQ4258733zbMATH OpenOpenAlexFDO

Authors Hailiang Yang

Publication date 14 September 1999

Published in Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03461230050131885

zbMATH Keywords

ruin probabilityinterest ratesmartingale inequalitiesLundberg's inequalityinvestment incomedecreasing failure rate distributionnew better then used distributionnew worse then used distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Martingales with continuous parameter (60G44)

Recommendations

• Bounding the ruin probability: a Martingale and a non-Martingale approach
• Exponential bounds of ruin probabilities for non-homogeneous risk models
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• Bounds for classical ruin probabilities

Cites work

• scientific article; zbMATH DE number 4032883 (Why is no real title available?)
• scientific article; zbMATH DE number 3567644 (Why is no real title available?)
• A non-exponential generalization of an inequality arising in queueing and insurance risk
• Classical risk theory in an economic environment
• Lundberg bounds on the tails of compound distributions
• Refinements and distributional generalizations of Lundberg's inequality

Cited in

(23)

• The ruin probability of a discrete-time risk model with a one-sided linear claim process
• Bounding the ruin probability: a Martingale and a non-Martingale approach
• Ruin probabilities. Smoothness, bounds, supermartingale approach
• On the distribution of surplus immediately after ruin under interest force
• Inequalities for the probability of ruin in a reinsurance risk model with \(m\)-dependence assumptions
• Ruin problems for an autoregressive risk model with dependent rates of interest
• On the distribution of surplus immediately after ruin under interest force and subexponential claims
• Ruin theory in a financial corporation model with credit risk.
• On the distribution of surplus immediately before ruin under interest force
• Lundberg-type inequalities for non-homogeneous risk models
• Risk model with fuzzy random individual claim amount
• Ruin problems in risk models with dependent rates of interest
• The Ruin Probability of a Discrete Time Risk Model under Constant Interest Rate with Heavy Tails
• Exponential bounds of ruin probabilities for non-homogeneous risk models
• Finite- and infinite-time ruin probabilities in the presence of stochastic returns on investments
• Ruin probabilities with a Markov chain interest model
• UPPER BOUNDS FOR RUIN PROBABILITY UNDER TIME SERIES MODELS
• Exponential bounds for ruin probability in two moving average risk models with constant interest rate
• Ruin probabilities for discrete time risk models with stochastic rates of interest
• On the ruin probabilities in a discrete time insurance risk process with capital injections and reinsurance
• Ruin problems for a discrete time risk model with non-homogeneous conditions
• On the evaluation of ruin probabilities in a generalized dual binomial risk model using Markov property
• Impact of underwriting cycles on the solvency of an insurance company

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