Abstract
The paper presents an extension of the classical Cramer-Lundberg ruin theory: the famous upper bound for the ruin probability with an infinite time horizon can be extended In a certain sense to the short and middle term case. Furthermore, a relation between the average values of lifetime and ruin amount is given.
Keywords: Ruin theory, middle term horizon, lifetime, ruin amount.
Volume
14:1
Page
1-12
Year
1984
Categories
Financial and Statistical Methods
Risk Pricing and Risk Evaluation Models
Probability of Ruin
Publications
ASTIN Bulletin
