FUNDAMENTALNAYA I PRIKLADNAYA MATEMATIKA

(FUNDAMENTAL AND APPLIED MATHEMATICS)

1996, VOLUME 2, NUMBER 4, PAGES 1055-1100

Ruin probability

V. V. Kalashnikov
D. Konstantinidis

Abstract

View as HTML     View as gif image

A short review on ruin probabilities in the collective risk theory is given. Two-sided bounds of ruin probabilities are proposed for a classical risk model. In the case where Cramér's condition holds, these bounds coincide with those obtained by Rossberg and Siegel. In the heavy-tailed case, the estimates proposed are new.

Main page Contents of the journal News Search

Location: http://mech.math.msu.su/~fpm/eng/96/964/96407h.htm
Last modified: March 19, 2005