A numerical comment on an upper bound for ruin probabilities
- 1 January 1983
- journal article
- research article
- Published by Taylor & Francis in Scandinavian Actuarial Journal
- Vol. 1983 (1) , 46
- https://doi.org/10.1080/03461238.1983.10408689
Abstract
In a paper by de Vylder (1977) an upper bound for the probability of ruin is constructed. A numerical example is given for a Poisson-process with claim d.f.=l-e−y , the operational time T=100, the premium loading λ=0.05 (c= 1.05) and the initial reserve u=50. In this case the limit is found to be ψ(u, T)⩽00.0025.Keywords
This publication has 2 references indexed in Scilit:
- Martingales and ruin in a dynamical risk processScandinavian Actuarial Journal, 1977
- Numerical evaluation of ruin probabilities for a finite periodASTIN Bulletin, 1973