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On finite-time ruin probabilities for classical risk models |
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| Authors: | Claude Lefèvre Stéphane Loisel |
| Affiliation: | 1. Département de Mathématique , Université Libre de Bruxelles, Campus de la Plaine , C.P. 210, B-1050, Bruxelles, Belgium clefevre@ulb.ac.be;3. Université de Lyon, Université Claude Bernard Lyon 1 , Institut de Science Financière et d'Assurances , 50 Avenue Tony Garnier, F-69007, Lyon, France |
| Abstract: | Abstract Generally, the return of premiums without interest or with simple interest is provided for. It might, however, be worth while to notice that less complicated formulre are needed for the return of premiums with compound interest. |
| Keywords: | Ruin probability Finite and infinite horizon Compound binomial model Compound Poisson model Ballot theorem Pseudo-distributions Solvency II Value-at-Risk |