Two-Sided Bounds for the Finite Time Probability of Ruin

Z. G. Ignatov and V. K. Kaishev

Scandinavian Actuarial Journal, 2000, vol. 2000, issue 1, 46-62

Abstract: Explicit, two-sided bounds are derived for the probability of ruin of an insurance company, whose premium income is represented by an arbitrary, increasing real function, the claims are dependent, integer valued r.v.s and their inter-occurrence times are exponentially, non-identically distributed. It is shown, that the two bounds coincide when the moments of the claims form a Poisson point process. An expression for the survival probability is further derived in this special case, assuming that the claims are integer valued, i.i.d. r.v.s. This expression is compared with a different formula, obtained recently by Picard & Lefevre (1997) in terms of generalized Appell polynomials. The particular case of constant rate premium income and non-zero initial capital is considered. A connection of the survival probability to multivariate B -splines is also established.

Date: 2000
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DOI: 10.1080/034612300750066728

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