Improved asymptotic upper bounds on the ruin capital in the Lundberg model of risk

DOI10.1016/J.INSMATHECO.2013.12.004zbMath1296.91165OpenAlexW2064855127MaRDI QIDQ743171

Vsevolod K. Malinovskii

Publication date: 22 September 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.12.004

zbMATH Keywords

asymptotic boundsLundberg model of riskruin capital

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (3)

How an aggressively expanding insurance company becomes insolvent ⋮ Simulation analysis of ruin capital in Sparre Andersen's model of risk ⋮ Annual intrinsic value of a company in a competitive insurance market

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Annual intrinsic value of a company in a competitive insurance market
• Adaptive control strategies and dependence of finite time ruin on the premium loading
• Risk theory insight into a zone-adaptive control strategy
• Non-Poissonian claims' arrivals and calculation of the probability of ruin
• Level premium rates as a function of initial capital
• Equitable solvent controls in a multi-period game model of risk
• Rationale of underwriters' pricing conduct on competitive insurance market
• Simulation analysis of ruin capital in Sparre Andersen's model of risk
• Corrected normal approximation for the probability of ruin within finite time
• Probabilities of ruin when the safety loading tends to zero

This page was built for publication: Improved asymptotic upper bounds on the ruin capital in the Lundberg model of risk