Non-exponential Bounds for Ruin Probability with Interest Effect Included

Hailiang Yang

Scandinavian Actuarial Journal, 1999, vol. 1999, issue 1, 66-79

Abstract: In this paper, we consider a discrete time risk model. First we discuss the classical model, both exponential and non-exponential upper bounds for ruin probabilities are obtained by using martingale inequalities. Then similar results are obtained for the model with investment income.

Date: 1999
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DOI: 10.1080/03461230050131885

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