Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest

Insurance: Mathematics and Economics

Volumn 32, Issue 1, 2003, Pages 61-71

  Cai, Jun ^a   Dickson, David C M ^b  

^a UNIVERSITY OF WATERLOO   (Canada)

^b UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

Adjustment coefficient; Compound Poisson model; Force of interest; Lundberg's inequality; Martingale; Optional stopping theorem; Ruin probability; Sparre Andersen model

Indexed keywords

EID: 0037453927     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(02)00204-4     Document Type: Article

References (10)

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