Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest

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    Author
    CAI, J; DICKSON, DCM
    Date
    2003
    Source Title
    Insurance: Mathematics & Economics
    University of Melbourne Author/s
    Dickson, David
    Affiliation
    Economics and Commerce: Centre for Actuarial Studies
    Metadata
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    Document Type
    Journal Article
    Citations
    CAI, J. & DICKSON, D. C. M. (2003). Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest. Insurance: Mathematics & Economics, 32 (1), pp.61-71. https://doi.org/10.1016/S0167-6687(02)00204-4.
    Access Status
    Open Access
    URI
    http://hdl.handle.net/11343/33691
    DOI
    10.1016/S0167-6687(02)00204-4
    Keywords
    Sparre Andersen model; compound Poisson model; force of interest; ruin probability; adjustment coefficient; Lundberg's inequality; martingale; optional stopping theorem

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