Approximating the finite-time ruin probability under interest force
نویسندگان
چکیده
منابع مشابه
Two - sided Bounds for Ruin Probability under Constant Interest Force
In this paper we investigate the ruin probability in the classical risk model under a positive constant interest force. We restrict ourselves to the case where the claim size is heavy-tailed, i.e. the equilibrium distribution function (e.d.f.) of the claim size belongs to a wide subclass (denoted A) of subexponential distributions. Two-sided estimates for the ruin probability are developed by r...
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2001
ISSN: 0167-6687
DOI: 10.1016/s0167-6687(01)00083-x