Abstract
AbstractThe upper bound provided by Lundberg's inequality can be improved for the probability of ruin in finite horizon, as Gerber (1979) has shown. This paper studies this upper bound as a function of the retention limit, for an excess of loss arrangement, and compares it with the probability of ruin.
Publisher
Cambridge University Press (CUP)
Subject
Economics and Econometrics,Finance,Accounting
Cited by
14 articles.
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