Abstract
In this paper, we further study the compound filtered Poisson model
with random interest force model wihich was studied in Ng, Yang and Zhang
(2004). By using some results from Ng, Yang and Zhang (2004) and adapting the methodologies of Delbaen and Haezendonck (1987), better upper
bounds for the ruin probability under this model are obtained. Moreover,
we compare different upper bounds, and give conditions under which the
strictly inequalities hold.
with random interest force model wihich was studied in Ng, Yang and Zhang
(2004). By using some results from Ng, Yang and Zhang (2004) and adapting the methodologies of Delbaen and Haezendonck (1987), better upper
bounds for the ruin probability under this model are obtained. Moreover,
we compare different upper bounds, and give conditions under which the
strictly inequalities hold.
| Original language | English |
|---|---|
| Journal | International Journal of Statistics and Systems. |
| Volume | 1 |
| Issue number | 2 |
| Publication status | Published - 2006 |
| Externally published | Yes |