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Rui Cardoso, A. Reis (2002)
Recursive calculation of time to ruin distributionsInsurance Mathematics & Economics, 30
Jun Cai (2004)
Ruin probabilities and penalty functions with stochastic rates of interestStochastic Processes and their Applications, 112
F. Vázquez-Abad (2000)
RPA pathwise derivative estimation of ruin probabilitiesInsurance Mathematics & Economics, 26
Jun Cai, D. Dickson (2002)
On the expected discounted penalty function at ruin of a surplus process with interestInsurance Mathematics & Economics, 30
Jun Cai, D. Dickson (2003)
Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interestInsurance Mathematics & Economics, 32
J. Tan, S. Yang (2005)
Ruin Probability about Dual Poisson Model with Discrete TimeChinese Journal of Applied Probability and Statisties
B. Sundt, J. Teugels (1995)
Ruin estimates under interest forceInsurance Mathematics & Economics, 16
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.
Acta Mathematicae Applicatae Sinica – Springer Journals
Published: Jan 1, 2006
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