Excess of Loss Reinsurance and the Probability of Ruin in Finite Horizon

Maria de Lourdes Centeno

ASTIN Bulletin, 1997, vol. 27, issue 1, 59-70

Abstract: The upper bound provided by Lundberg's inequality can be improved for the probability of ruin in finite horizon, as Gerber (1979) has shown. This paper studies this upper bound as a function of the retention limit, for an excess of loss arrangement, and compares it with the probability of ruin.

Date: 1997
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