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The Ruin Problem with a Finite Time Horizon*

Published online by Cambridge University Press:  29 August 2014

Marc-Henri Amsler
Marc-Henri Amsler*
Affiliation:
University of Lausanne, Switzerland
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Abstract

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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.

Keywords

Ruin theorymiddle term horizonlifetimeruin amount
Type
Research Article
Information
ASTIN Bulletin: The Journal of the IAA , Volume 14 , Issue 1 , April 1984 , pp. 1 - 12
Copyright
Copyright © International Actuarial Association 1984

Footnotes

*

Paper presented to the 16th ASTIN Colloquium, Liège, September 1982

References

Amsler, M.-H. (1975) La Ruine et sa Contre-Utilité. Bulletin of the Association of Swiss Actuaries. Part 2, 167–182.Google Scholar
Gerber, H. U. (1979) An Introduction to Mathematical Risk Theory. Warton School University of Pennsylvania, Chapter 9.Google Scholar
Seal, H. L. (1978) Survival Probabilities, The Goal of Risk Theory. John Wiley & Sons: New York.Google Scholar