Bounding the Ruin Probability: A Martingale and A Non-Martingale Approach

被引：0

作者：

Das, Kumer Pial ^{[1
]}

机构：

[1] Lamar Univ, Dept Math, Beaumont, TX 77710 USA

来源：

STOCHASTIC ANALYSIS AND APPLICATIONS | 2009年 / 27卷 / 06期

关键词：

Down Crossing Inequality; Martingale; Ruin Probability; Surplus Process;

D O I：

10.1080/07362990903259900

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

For the ruin problem under interest force the down crossing inequality for martingale has been used to obtain an upper bound on the probability of ruin. A non-martingale technique has also been used to obtain an upper bound on the ruin probability. In the case of Gamma and Pareto claim sizes, the non-martingale approach provides better estimates than those of martingale approach.

引用

页码：1223 / 1230

页数：8

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