Journal of applied mathematics & informatics
- Volume 23 Issue 1_2
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- Pages.87-99
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- 2007
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- 2734-1194(pISSN)
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- 2234-8417(eISSN)
THE DEFICIT AT RUIN IN THE SPARRE ANDERSEN MODEL WITH INTEREST
- Bao, Zhen-Hua (School of mathematics, Liaoning Normal University) ;
- Ye, Zhong-Xing (Department of Mathematics, Jiao Tong University)
- Published : 2007.01.31
Abstract
In this paper, we consider the Sparre Andersen risk model modified by the inclusion of interest on the surplus. By using the techniques of Cai and Dickson [Ins.: Math. Econ. 32(2003)], we give the functional and also the exponential type upper bounds for the tail probability of the deficit at ruin. Some special cases are also discussed.