Improved asymptotic upper bounds on the ruin capital in the Lundberg model of risk
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Publication:743171
DOI10.1016/j.insmatheco.2013.12.004zbMath1296.91165OpenAlexW2064855127MaRDI QIDQ743171
Publication date: 22 September 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.12.004
Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of continuous-time Markov processes on discrete state spaces (60J28)
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How an aggressively expanding insurance company becomes insolvent, Simulation analysis of ruin capital in Sparre Andersen's model of risk, Annual intrinsic value of a company in a competitive insurance market
Cites Work
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