an:01129216
Zbl 0910.62107
Sundt, Bj??rn; Teugels, Jozef L.
The adjustment function in ruin estimates under interest force
EN
Insur. Math. Econ. 19, No. 2, 85-94 (1997).
00046871
1997
j
62P05 91B30
interest rate; Lundberg inequality; adjustment function; ruin probabilities; compound Poisson process
Summary: We continue our discussion of infinite time ruin probabilities in continuous time in a compound Poisson process with a constant premium rate and a constant interest force. Using appropriate conditions the ruin probability is exponentially bounded. The usual adjustment coefficient is replaced by an adjustment function depending in an intricate way on the initial reserve, the interest force and all ingredients of the compound Poisson process. After deriving general bounds we also give expansions for the case where the interest force is small.