The Ruin Problem with a Finite Time Horizon

Bibliographic Details
Authors and Corporations: Amsler, Marc-Henri
Title: The Ruin Problem with a Finite Time Horizon
In: ASTIN Bulletin, 14, 1984, 1, p. 1-12
published:
Cambridge University Press (CUP)
Physical Description:1-12
ISSN/ISBN: 0515-0361
1783-1350
Summary:<jats:title>Abstract</jats:title><jats:p>The paper presents an extension of the classical Cramér–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.</jats:p>
Type of Resource:E-Article
Source:Cambridge University Press (CUP) (CrossRef)
Language: English