𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Some improvements on the Lundberg bound for the ruin probability

✍ Scribed by Jun Cai; Yanhong Wu

Publisher
Elsevier Science
Year
1997
Tongue
English
Weight
333 KB
Volume
33
Category
Article
ISSN
0167-7152

No coin nor oath required. For personal study only.

✦ Synopsis

In this paper, improvements on the Lundberg bound for the ruin probability in the classical risk model are consideredβ€’ First, a lower bound and an upper bound are derived in terms of an NWU and NBU distribution which generalize the Lundberg bound based on the exponential distributionβ€’ Second, some new techniques are developed based on the classical renewal theory. Extensions to more general cases are discussed. Application to the Weibull model is used for illustration.

πŸ“œ SIMILAR VOLUMES

On the efficient evaluation of ruin prob
On the efficient evaluation of ruin probabilities for completely monotone claim distributions
✍ HansjΓΆrg Albrecher; Florin Avram; Dominik Kortschak πŸ“‚ Article πŸ“… 2010 πŸ› Elsevier Science 🌐 English βš– 765 KB

In this paper we propose a highly accurate approximation procedure for ruin probabilities in the classical collective risk model, which is based on a quadrature/rational approximation procedure proposed in [2]. For a certain class of claim size distributions (which contains the completely monotone d