Upper bounds for ultimate ruin probabilities in the Sparre Andersen risk model with interest and a nonlinear dividend barrier

被引：1

作者：

Yang, Wenquan ^{[1
,2
]}

Hu, Yijun ^{[2
]}

机构：

[1] Jianghan Univ, Sch Math & Comp Sci, Wuhan 430056, Hubei, Peoples R China

[2] Wuhan Univ, Sch Math & Stat, Wuhan 430072, Hubei, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2009年 / 79卷 / 01期

基金：

中国国家自然科学基金;

关键词：

D O I：

10.1016/j.spl.2008.07.016

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider the classical risk model with constant force of interest and a nonlinear dividend barrier. Lundberg-type inequalities for the ultimate ruin probabilities are derived. The results obtained carry over those of Gerber [Gerber, H.U., 1979. An Introduction to Mathematical Risk Theory. In: Monograph Series, vol. 8. Huebner Foundation. Philadelphial, about a linear dividend barrier without interest, to the case with both interest and a nonlinear dividend barrier. More precise upper bounds for the ultimate ruin probabilities are also given for the special case of exponential claim sizes. (c) 2008 Elsevier B.V. All rights reserved.

引用

页码：63 / 69

页数：7

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