EXPLICIT ANALYTIC RUIN PROBABILITIES FOR BOUNDED CLAIMS

We demonstrate how explicit analytic ruin probabilities can be obtaine d for claimsize distributions concentrated on a compact interval and c onstructed arbitrarily from polynomials, exponential functions e(ax) ( a is an element of R) and trigonometric functions sin(bx) (x is an ele ment of R), cos(cx) (x is an element of R), by a finite number of addi tions and multiplications. The method applies also in case of unbounde d claims, and then its execution is much simpler than for bounded clai ms.