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A NOTE ON THE INSURANCE RISK PROBLEM

Published online by Cambridge University Press:  27 February 2003

Sheldon M. Ross
Sheldon M. Ross
Affiliation:
Department of IEOR, University of California, Berkeley, CA 94720, E-mail: ross@ieor.berkeley.edu
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Abstract

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We give a new characterization of the ruin probability of the classical insurance risk model and use it to obtain bounds on and a computational approach for evaluating this probability.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 17 , Issue 2 , April 2003 , pp. 199 - 203
Copyright
© 2003 Cambridge University Press