A Large Deviation Estimate for Ruin Probabilities

Boualem Djehiche

Research output: Contribution to journalArticlepeer-review


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 languageEnglish (US)
Pages (from-to)42-59
Number of pages18
JournalScandinavian Actuarial Journal
Issue number1
StatePublished - Jan 1 1993


  • entropy function
  • finite horizon
  • large deviations
  • Ruin probability

ASJC Scopus subject areas

  • Statistics and Probability
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty


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