Approximation for Ruin Probability in the Sparre Andersen Model with Interest

被引：0

作者：

Ji-yang Tan Xiang-qun Yang Department of Mathematics

机构：

来源：

Acta Mathematicae Applicatae Sinica | 2006年 / 02期

基金：

中国国家自然科学基金; 高等学校博士学科点专项科研基金;

关键词：

Sparre Andersen model; compound Poisson model; force of interest; ruin probability;

D O I：

暂无

中图分类号：

O211.4 [极限理论];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider the Sparre Andersen model modified by the inclusion of interest on the surplus.Approximation for the ultimate ruin probability is derived by rounding.And upper bound and lower bound arealso derived by rounding-down and rounding-up respectively.According to the upper bound and lower bound,we can easily obtain the error estimation of the approximation.Applications of the results to the compoundPoisson model are given.

引用

页码：333 / 344

页数：12

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