Ruin estimates under interest force

DOI10.1016/0167-6687(94)00023-8MaRDI QIDQ1902621zbMATH OpenOpenAlexFDO

Authors Bjørn Sundt, J. L. Teugels

Publication date 22 November 1995

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

Full work available at URL https://doi.org/10.1016/0167-6687(94)00023-8

zbMATH Keywords

boundsruin probabilityapproximationscompound Poisson processconstant interest rateLundberg inequalityinfinite time ruin probabilitiesconstant premium rateexponential claim sizesinterest-ratezero initial reserve

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Integral equations with miscellaneous special kernels (45H05)

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Cited in

(only showing first 100 items - show all)

• The finite-time ruin probability of the compound Poisson model with constant interest force
• Approximation of the initial reserve for known ruin probabilities
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• Approximating the finite-time ruin probability under interest force

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