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

Vsevolod K. Malinovskii

Insurance: Mathematics and Economics, 2014, vol. 55, issue C, 301-309

Abstract: This paper deals with ruin capital uα,t(c∣λ,μ) in the classical Lundberg model of risk. It is defined as the initial capital needed to keep the probability of ruin within finite time t equal to a predefined value α. Considered as a decreasing function of premium rate c, the ruin capital is shown to be convex (i.e., concave downward) for c>λ/μ and t sufficiently large. This observation is used to construct explicit upper bounds on the ruin capital.

Keywords: Lundberg model of risk; Ruin capital; Asymptotic bounds (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:55:y:2014:i:c:p:301-309

DOI: 10.1016/j.insmatheco.2013.12.004

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