RUIN ESTIMATES UNDER INTEREST FORCE

被引：185

作者：

SUNDT, B

TEUGELS, JL

机构：

[1] KATHOLIEKE UNIV LEUVEN,APPL MATH SECT,B-3001 LOUVAIN,BELGIUM

[2] WYATT CO,OSLO,NORWAY

来源：

INSURANCE MATHEMATICS & ECONOMICS | 1995年 / 16卷 / 01期

关键词：

RUIN PROBABILITY; INTEREST RATE; LUNDBERG INEQUALITY; COMPOUND POISSON PROCESS;

D O I：

10.1016/0167-6687(94)00023-8

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In the present paper we discuss infinite time ruin probabilities in continuous time in a compound Poisson process with a constant premium rate and a constant interest rate. We discuss equations for the ruin probability as well as approximations and upper and lower bounds. Two special cases are treated in more detail: the case with zero initial reserve, and the case with exponential claim sizes.

引用

页码：7 / 22

页数：16

共 23 条

[1]

Beard R.E., 1984, RISK THEORY

[2] LIMIT-THEOREMS FOR THE PRESENT VALUE OF THE SURPLUS OF AN INSURANCE PORTFOLIO [J].