The Ruin Problem with a Finite Time Horizon*

Marc-Henri Amsler

ASTIN Bulletin, 1984, vol. 14, issue 1, 1-12

Abstract: The paper presents an extension of the classical Cramér–Lundberg ruin theory: the famous upper bound for the ruin probability with an infinite time horizon can be extended in a certain sense to the short and middle term case. Furthermore, a relation between the average values of lifetime and ruin amount is given.

Date: 1984
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