A. A. Muromskaya, “On the probability of ruin of a joint-stock insurance company in the Sparre Andersen risk model”, Fundam. Prikl. Mat., 2018, Volume 22, Issue 3,Pages <nobr>179

On the probability of ruin of a joint-stock insurance company in the Sparre Andersen risk model

A. A. Muromskaya^ab

^a Steklov Mathematical Institute of Russian Academy of Sciences, Moscow, Russia
^b Lomonosov Moscow State University, Moscow, Russia

Abstract: An upper bound for the ruin probability of a joint-stock insurance company is obtained, provided that the intervals between the claim times have a gamma distribution and the insurance company uses a linear barrier dividend strategy.

UDC: 519.21