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The Ruin Problem with a Finite Time Horizon*
Published online by Cambridge University Press: 29 August 2014
Abstract
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.
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- Research Article
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- Copyright
- Copyright © International Actuarial Association 1984
Footnotes
Paper presented to the 16th ASTIN Colloquium, Liège, September 1982
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