斯帕尔-安德森模型中毁灭概率的界限

IF 2 Q2 BUSINESS, FINANCE

Risks Pub Date : 2024-02-02 DOI:10.3390/risks12020028

Sotirios Losidis, Vaios Dermitzakis

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引用次数: 0

摘要

我们得到了斯帕尔-安德森模型中毁坏概率的上限和下限。这些界限是在不同条件下确定的：当调整系数存在时、当调整系数不存在时、当到达间分布属于某些老化类别时。此外，我们还改进了伦德伯格破坏概率上限。

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Bounds for the Ruin Probability in the Sparre–Andersen Model

We obtain the upper and lower bounds for the ruin probability in the Sparre–Andersen model. These bounds are established under various conditions: when the adjustment coefficient exists, when it does not exist, and when the interarrival distribution belongs to certain aging classes. Additionally, we improve the Lundberg upper bound for the ruin probability.

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