Journal of East China Normal University(Natural Sc ›› 2003, Vol. 2003 ›› Issue (3): 24-30.

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The Estimates of Bounds on Ruin Probabilities under Perturbed Risk Models

LIN Qing-min1; WANG Rong-ming2   

  1. 1 China Ping An Life Insurances Co LTD, Shanghai 200040,China; 2 Department of Statistics, East China Normal University, Shanghai 200062, China
  • Received:2001-12-23 Revised:2003-09-25 Online:2003-09-10 Published:2003-09-10

Abstract: Bounds on the probabilities for risk processes perturbed by diffusion are considered. Using a generalization of Wald's fundamental identity, we derive upper and lower bounds in terms of some life distributions respectively. Examples on how to use these bounds are given,and comparision of our bounds with other's are considered.

Key words: risk processes perturbed by diffusion, life distributions, compound distributions, bounds on ruin probabilities, risk processes perturbed by diffusion, life distributions, compound distributions