Oversigt over de udenlandske Aktuartidsskrifter |
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| Authors: | I. H. |
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| Affiliation: | Centre for Actuarial Studies Faculty of Economics and Commerce , University of Melbourne , Victoria 3052, Parkville , Australia |
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| Abstract: | Abstract In the classical compound Poisson risk model, Lundberg's inequality provides both an upper bound for, and an approximation to, the probability of ultimate ruin. The result can be applied only when the moment generating function of the individual claim amount distribution exists. In this paper we derive an upper bound for the probability of ultimate ruin when the moment generating function of the individual claim amount distribution does not exist. |
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| Keywords: | Ruin probability upper bound compound Poisson model |
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