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.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 42-59 |
| Number of pages | 18 |
| Journal | Scandinavian Actuarial Journal |
| Volume | 1993 |
| Issue number | 1 |
| DOIs | |
| State | Published - Jan 1 1993 |
Keywords
- entropy function
- finite horizon
- large deviations
- Ruin probability
ASJC Scopus subject areas
- Statistics and Probability
- Economics and Econometrics
- Statistics, Probability and Uncertainty