Improved asymptotic upper bounds on the ruin capital in the Lundberg model of risk

This paper deals with ruin capital uα,t(c∣λ,μ) in the classical Lundberg model of risk. It is defined as the initial capital needed to keep the probability of ruin within finite time t equal to a predefined value α. Considered as a decreasing function of premium rate c, the ruin capital is shown to be convex (i.e., concave downward) for c>λ/μ and t sufficiently large. This observation is used to construct explicit upper bounds on the ruin capital.

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Year of publication:	2014
Authors:	Malinovskii, Vsevolod K.
Published in:	Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 55.2014, C, p. 301-309
Publisher:	Elsevier
Subject:	Lundberg model of risk \| Ruin capital \| Asymptotic bounds

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011046667