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On the Probability of Ruin of a Joint-Stock Insurance Company in the Sparre Andersen Risk Model

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Abstract

An upper bound for the ruin probability of a joint-stock insurance company is obtained, provided that the intervals between the claim times have a gamma distribution and the insurance company uses a linear barrier dividend strategy.

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References

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Authors and Affiliations

  1. Lomonosov Moscow State University, Moscow, Russia

    A. A. Muromskaya

  2. Steklov Mathematical Institute of Russian Academy of Sciences, Moscow, Russia

    A. A. Muromskaya

Authors
  1. A. A. Muromskaya
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Correspondence to A. A. Muromskaya.

Additional information

Translated from Fundamentalnaya i Prikladnaya Matematika, Vol. 22, No. 3, pp. 179–189, 2018.

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Muromskaya, A.A. On the Probability of Ruin of a Joint-Stock Insurance Company in the Sparre Andersen Risk Model. J Math Sci 254, 574–581 (2021). https://doi.org/10.1007/s10958-021-05326-1

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  • DOI: https://doi.org/10.1007/s10958-021-05326-1

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