The Ruin Problem with a Finite Time Horizon
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Published:1984-04
Issue:1
Volume:14
Page:1-12
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ISSN:0515-0361
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Container-title:ASTIN Bulletin
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language:en
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Short-container-title:ASTIN Bull.
Author:
Amsler Marc-Henri
Abstract
AbstractThe paper presents an extension of the classical Cramér–Lundberg ruin theory: the famous upper bound for the ruin probability with an infinite time horizon can be extended in a certain sense to the short and middle term case. Furthermore, a relation between the average values of lifetime and ruin amount is given.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Finance,Accounting
Cited by
2 articles.
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1. L
undberg Inequality for Ruin Probability;Wiley StatsRef: Statistics Reference Online;2014-09-29
2. Lundberg Inequality for Ruin Probability;Encyclopedia of Actuarial Science;2004-09-24