Cart
Scandinavian Actuarial Journal
Volume 2010, Issue 3, 2010
An effective method for constructing bounds for ruin probabilities for the surplus process perturbed by diffusion
- DOI:
- 10.1080/03461230903112190
pages 200-220
Available online: 26 Aug 2010Abstract
In this paper, we first study orders, valid up to a certain positive initial surplus, between a pair of ruin probabilities resulting from two individual claim size random variables for corresponding continuous time surplus processes perturbed by diffusion. The results are then applied to obtain a smooth upper (lower) bound for the underlying ruin probability; the upper (lower) bound is constructed from exponentially distributed claims, provided that the mean residual lifetime function of the underlying random variable is non-decreasing (non-increasing). Finally, numerical examples are given to illustrate the constructed upper bounds for ruin probabilities with comparisons to some existing ones.
Keywords
- Recommend to:
- A friend
First page preview
Details
- Available online: 26 Aug 2010
Author affiliations
- a Department of Statistics and Actuarial Science, Simon Fraser University, Burnaby, BC V5A 1S6, Canada
Librarians
- Librarians' area
- Pricing
- Institutional account
- Access entitlements
- Co-branding
- IP ranges
- Link resolver preferences
- Usage reports