This article is cited in 1 paper

Mathematics

Generalization of Lundberg's inequality for the case of stock insurance company

A. A. Muromskaya

Lomonosov Moscow State University, Faculty of Mechanics and Mathematics

Abstract: The ruin probability of an insurance company paying dividends according to a barrier strategy with a step barrier function is considered. Upper bounds for the probability of ruin are obtained within the framework of Sparre Andersen and Cramer–Lundberg risk models.

Key words: Sparre Andersen risk model, ruin probability, dividend payments, step barrier function, Cramer–Lundberg risk model.

UDC: 519.21

Received: 22.06.2016

 English version: Moscow University Mathematics Bulletin, Moscow University Mеchanics Bulletin, 2017, 72:1, 31–34

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