Abstract
In this paper, we consider a discrete time risk model. First we discuss the
classical model, both exponential and non-exponential upper bounds for
ruin probabilities are obtained by using martingale inequalities. Then
similar results are obtained for the model with investment income. Key
words: Martingale inequality, Lundberg’s inequality, new worse than used
(NWU) distribution, new better than used (NBU) distribution, decreasing
failure rate (DFR), ruin probability, in6estment income.
classical model, both exponential and non-exponential upper bounds for
ruin probabilities are obtained by using martingale inequalities. Then
similar results are obtained for the model with investment income. Key
words: Martingale inequality, Lundberg’s inequality, new worse than used
(NWU) distribution, new better than used (NBU) distribution, decreasing
failure rate (DFR), ruin probability, in6estment income.
| Original language | English |
|---|---|
| Pages (from-to) | 66-79 |
| Journal | Scandinavian Actuarial Journal |
| Volume | 1999 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 1999 |
| Externally published | Yes |