Bounding the Ruin Probability: A Martingale and A Non-Martingale Approach

DOI10.1080/07362990903259900zbMath1187.60032OpenAlexW1973767883MaRDI QIDQ3651650

Kumer P. Das

Publication date: 11 December 2009

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362990903259900

zbMATH Keywords

martingaleruin probabilitysurplus processdown crossing inequality

Mathematics Subject Classification ID

Martingales and classical analysis (60G46) Portfolio theory (91G10) Actuarial science and mathematical finance (91G99)

Cites Work

• Upper bounds on ruin probabilities in case of negative loadings and positive interest rates
• Ruin problems with compounding assets

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