|previous article in this issue||next article in this issue|
Document Details :
Title: Excess of Loss Reinsurance and and Probability of Ruin in Finite Horizon
Author(s): DE LOURDES CENTENO, M.
Journal: ASTIN Bulletin
Volume: 27 Issue: 1 Date: May 1997
The upper bound provided by Lundberg's inequality can be improved for the probability of ruin in finite horizon, as Gerber (1979) has shown This paper studies this upper bound as a function of the retention limit, for an excess of loss arrangement, and compares it with the probability of ruin.