کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1153875 958358 2009 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Upper bounds for ultimate ruin probabilities in the Sparre Andersen risk model with interest and a nonlinear dividend barrier
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
Upper bounds for ultimate ruin probabilities in the Sparre Andersen risk model with interest and a nonlinear dividend barrier
چکیده انگلیسی
We consider the classical risk model with constant force of interest and a nonlinear dividend barrier. Lundberg-type inequalities for the ultimate ruin probabilities are derived. The results obtained carry over those of Gerber [Gerber, H.U., 1979. An Introduction to Mathematical Risk Theory. In: Monograph Series, vol. 8. Huebner Foundation, Philadelphia], about a linear dividend barrier without interest, to the case with both interest and a nonlinear dividend barrier. More precise upper bounds for the ultimate ruin probabilities are also given for the special case of exponential claim sizes.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Statistics & Probability Letters - Volume 79, Issue 1, 1 January 2009, Pages 63-69
نویسندگان
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