The adjustment function in ruin estimates under interest force

Insurance: Mathematics and Economics

Volumn 19, Issue 2, 1997, Pages 85-94

  Sundt, Bjørn ^b   Teugels, Jozef L ^a  

^a UNIVERSITY OF LEUVEN   (Belgium)

^b NONE

Author keywords

Adjustment function; Compound poisson process; Interest rate; Lundberg inequality; Ruin probability

Indexed keywords

EID: 0031116317     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(96)00012-1     Document Type: Article

References (4)

1. Embrechts, P., J.L. Jensen, M. Maejima and J.L. Teugels (1985). Approximations for compound Poisson and Pólya processes. Advances in Applied Probability 17, 623-637.
2. Knuth, D.E. (1981). The Art of Programming. Vol.1: Fundamental Algorithms. Addison-Wesley, Reading, MA.
3. Sundt, B. and J.L. Teugels (1995). Ruin estimates under interest force. Insurance: Mathematics and Economics 16, 7-22.
4. Teugels, J.L. and G. Willmot (1987). Approximations for stop-loss premiums. Insurance: Mathematics and Economics 6, 195-202.