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Approximation for Ruin Probability in the Sparre Andersen Model with Interest

Approximation for Ruin Probability in the Sparre Andersen Model with Interest 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 are also 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 compound Poisson model are given. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Mathematicae Applicatae Sinica Springer Journals

Approximation for Ruin Probability in the Sparre Andersen Model with Interest

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References (7)

Publisher
Springer Journals
Copyright
Copyright © 2006 by Springer-Verlag Berlin Heidelberg
Subject
Mathematics; Applications of Mathematics; Math Applications in Computer Science; Theoretical, Mathematical and Computational Physics
ISSN
0168-9673
eISSN
1618-3932
DOI
10.1007/s10255-006-0309-4
Publisher site
See Article on Publisher Site

Abstract

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 are also 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 compound Poisson model are given.

Journal

Acta Mathematicae Applicatae SinicaSpringer Journals

Published: Jan 1, 2006

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