### Abstract

Original language | English |
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Place of Publication | Tilburg |

Publisher | Operations research |

Number of pages | 18 |

Volume | 2000-111 |

Publication status | Published - 2000 |

### Publication series

Name | CentER Discussion Paper |
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Volume | 2000-111 |

### Fingerprint

### Keywords

- interest rate
- probability

### Cite this

*Approximating the Finite-Time Ruin Probability under Interest Force*. (CentER Discussion Paper; Vol. 2000-111). Tilburg: Operations research.

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**Approximating the Finite-Time Ruin Probability under Interest Force.** / Brekelmans, R.C.M.; De Waegenaere, A.M.B.

Research output: Working paper › Discussion paper › Other research output

TY - UNPB

T1 - Approximating the Finite-Time Ruin Probability under Interest Force

AU - Brekelmans, R.C.M.

AU - De Waegenaere, A.M.B.

N1 - Pagination: 18

PY - 2000

Y1 - 2000

N2 - We present an algorithm to determine both a lower and an upper bound for the finite-time probability of ruin for a risk process with constant interest force. We split the time horizon into smaller intervals of equal length and consider the probability of ruin in case premium income for a time interval is received at the beginning (resp. end) of that interval, which yields a lower (resp. upper) bound.For both bounds we present a renewal equation which depends on the distribution of the present value of the aggregate claim amount in a time interval.This distribution is determined through a generalization of Panjer's (1981) recursive method.

AB - We present an algorithm to determine both a lower and an upper bound for the finite-time probability of ruin for a risk process with constant interest force. We split the time horizon into smaller intervals of equal length and consider the probability of ruin in case premium income for a time interval is received at the beginning (resp. end) of that interval, which yields a lower (resp. upper) bound.For both bounds we present a renewal equation which depends on the distribution of the present value of the aggregate claim amount in a time interval.This distribution is determined through a generalization of Panjer's (1981) recursive method.

KW - interest rate

KW - probability

M3 - Discussion paper

VL - 2000-111

T3 - CentER Discussion Paper

BT - Approximating the Finite-Time Ruin Probability under Interest Force

PB - Operations research

CY - Tilburg

ER -