Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1153875 | Statistics & Probability Letters | 2009 | 7 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Wenquan Yang, Yijun Hu,