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094010 (M21) On the bias of the conventional actuarial estimator of qx : Puzey A.S., Actuarial Research Paper No99, Department of Actuarial Science and Statistics, City University, UK, 1997

Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
83 KB
Volume
21
Category
Article
ISSN
0167-6687

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โœฆ Synopsis

Abstracts and Reviews

based on the framework of the BUhlmann and Straubmodel. The results are compared with those obtained by applying the model suggested by Ramlau-Hansen.

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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.