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The Ruin Problem with a Finite Time Horizon

Amsler, Marc-Henri

In: ASTIN Bulletin, 1984, vol. 14, no. 1, p. 1-12

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    Title
    • The Ruin Problem with a Finite Time Horizon
    Author
    • Amsler, Marc-Henri. University of Lausanne, Switzerland
    Document Type
    • Postprint
    OAI-PMH Identifier
    • oai:doc.rero.ch:302922
    Summary
    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