Short Communications

On one estimate of the ruin probability

G. P. Ivanova, V. Ya. Kondratyev

M. V. Lomonosov Moscow State University, Faculty of Computational Mathematics and Cybernetics

Abstract: The paper deduces the inequality for the ruin probability from a Laplace formula for a player versus an infinitely rich opponent.

Keywords: ruin probability, classic ruin problem.

Received: 04.04.2004

DOI: 10.4213/tvp178

 English version: Theory of Probability and its Applications, 2008, 52:2, 345–350

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