An upper bound for the probability of ultimate ruin

DOI10.1080/03461238.1994.10413935zbMath0809.62099OpenAlexW2008056970MaRDI QIDQ4322968

David C. M. Dickson

Publication date: 13 February 1995

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.1994.10413935

zbMATH Keywords

upper boundmoment generating functioncompound Poisson risk modelcontinuous time risk modelLundberg's inequalityprobability of ultimate ruinindividual claim amount distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (6)

Some improvements on the Lundberg bound for the ruin probability ⋮ Non-exponential bounds for stop-loss premiums and ruin probabilities ⋮ Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model ⋮ Interval estimation of the ruin probability in the classical compound Poisson risk model ⋮ Aging properties and bounds for ruin probabilities and stop-loss premiums ⋮ Refinements of bounds for tails of compound distributions and ruin probabilities

Cites Work

• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Ordering of risks and ruin probabilities

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