✦ LIBER ✦

092028 (M13) Continuity of ruin probabilities : Kalashnikov V., Laboratory of Actuarial Mathematics, University of Copenhagen, Working Paper No. 141, 1996

Publisher: Elsevier Science
Year: 1997
Tongue: English
Weight: 87 KB
Volume: 20
Category: Article
ISSN: 0167-6687
DOI: 10.1016/s0167-6687(97)80652-x

No coin nor oath required. For personal study only.

✦ Synopsis

Upper and lower bounds of the distribution function of a geometric sum with heavy-tailed summands are proposed. These bounds can serve as bounds of the ruin probability. Their accuracy is illustrated by numerical examples.

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