Bounds for the Ruin Probability in the Sparre-Andersen Model

被引：1

作者：

Losidis, Sotirios ^{[1
]}

Dermitzakis, Vaios ^{[2
]}

机构：

[1] 30 Aristaiou Str, Athens 11743, Greece

[2] Univ Liverpool, Inst Financial & Actuarial Math, Dept Math Sci, Liverpool L69 7ZL, Merseyside, England

来源：

RISKS | 2024年 / 12卷 / 02期

关键词：

Sparre-Andersen model; ruin probability; truncated Cramer-Lundberg condition; aging properties; RENEWAL; DEFICIT;

D O I：

10.3390/risks12020028

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We obtain the upper and lower bounds for the ruin probability in the Sparre-Andersen model. These bounds are established under various conditions: when the adjustment coefficient exists, when it does not exist, and when the interarrival distribution belongs to certain aging classes. Additionally, we improve the Lundberg upper bound for the ruin probability.

引用

页数：15

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