A large deviation estimate for ruin probabilities

1 January 1993

journal article
research article
Published by Informa UK Limited in Scandinavian Actuarial Journal

Vol. 1993 (1), 42-59
https://doi.org/10.1080/03461238.1993.10413912

Abstract

A risk process with premiums depending on the current reserve is considered. A large deviation approach is used to obtain upper and lower bounds for the corresponding ruin probabilities. They are expressed in terms of the entropy function of the claims distribution

Keywords

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