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.
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收藏
页码：63 / 69
页数：7
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