RUIN ESTIMATES UNDER INTEREST FORCE

Authors
SUNDT B TEUGELS JL
Citation
B. Sundt et Jl. Teugels, RUIN ESTIMATES UNDER INTEREST FORCE, Insurance. Mathematics & economics, 16(1), 1995, pp. 7-22
Citations number
23
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences
Journal title
Insurance. Mathematics & economics → ACNP
ISSN journal
01676687
Volume
16
Issue
1
Year of publication
1995
Pages
7 - 22
Database
ISI
SICI code
0167-6687(1995)16:1<7:REUIF>2.0.ZU;2-H
Abstract
In the present paper we discuss infinite time ruin probabilities in co ntinuous time in a compound Poisson process with a constant premium ra te and a constant interest rate. We discuss equations for the ruin pro bability as well as approximations and upper and lower bounds. Two spe cial cases are treated in more detail: the case with zero initial rese rve, and the case with exponential claim sizes.