Lundberg upper bounds for ultimate ruin probabilities with constant interest

被引：0
|
作者：
Wu, Zhao
Cheng, Wang Ding
Yong, Zeng
机构：
来源：
Advances in Matrix Theory and Applications | 2006年
关键词：
Lundberg upper bounds; ruin probability; martingale; adjustment coefficient;
D O I：
暂无
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
This paper investigates the infinite time ruin probability of the Sparre Andersen model with constant interest force. Exponential type upper bounds for the ruin probability are derived by martingale techniques. Applications of the results to the claims which have exponential distributions are given.
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页码：331 / 334
页数：4
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