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Non-exponential bounds for ruin probabilities with interest effect included. (English) Zbl 0922.62113
The first part of this article demonstrates how martingale techniques, in particularly simple martingale inequalities, can be used to obtain both exponential and non-exponential upper bounds for ruin probabilities. In the second part, the author discusses a risk model that includes the interest effect to the surplus process and obtains the upper bounds using the martingale approach.

MSC:
62P05 Applications of statistics to actuarial sciences and financial mathematics
60G44 Martingales with continuous parameter
91B30 Risk theory, insurance (MSC2010)
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References:
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