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- W2384521901 abstract "We propose a method for improving existing upper and lower bounds for ruin probabilities in the Sparre Andersen model.The method is based on the renewal equations for the probability of ruin in that model and may be used recursively.We discuss how the method can be used more generally for solutions of renewal equations,provided that the function in question is monotone and initial bounds for it are available.We illustrate this by considering the severity of ruin in the Sparre Andersen model,for which we obtain lower and upper bounds;the application of the method is then straightforward." @default.
- W2384521901 created "2016-06-24" @default.
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- W2384521901 date "2009-01-01" @default.
- W2384521901 modified "2023-09-25" @default.
- W2384521901 title "Bounds for the probability and severity of ruin in the sparre Andersen model" @default.
- W2384521901 hasPublicationYear "2009" @default.
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