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Fundamentalnaya i Prikladnaya Matematika, 2018, Volume 22, Issue 3, Pages 179–189 (Mi fpm1810)  
On the probability of ruin of a joint-stock insurance company in the Sparre Andersen risk model

A. A. Muromskayaab

a Steklov Mathematical Institute of Russian Academy of Sciences, Moscow, Russia
b Lomonosov Moscow State University, Moscow, Russia
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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.
Funding agency Grant number
Russian Science Foundation 14-21-00162
This work is supported by the Russian Science Foundation under grant 14-21-00162.
English version:
Journal of Mathematical Sciences (New York), 2021, Volume 254, Issue 4, Pages 574–581
DOI: https://doi.org/10.1007/s10958-021-05326-1
Bibliographic databases:
Document Type: Article
UDC: 519.21
Language: Russian
Citation: A. A. Muromskaya, “On the probability of ruin of a joint-stock insurance company in the Sparre Andersen risk model”, Fundam. Prikl. Mat., 22:3 (2018), 179–189; J. Math. Sci., 254:4 (2021), 574–581
Citation in format AMSBIB
\Bibitem{Mur18}
\by A.~A.~Muromskaya
\paper On the probability of ruin of a joint-stock insurance company in the Sparre Andersen risk model
\jour Fundam. Prikl. Mat.
\yr 2018
\vol 22
\issue 3
\pages 179--189
\mathnet{http://mi.mathnet.ru/fpm1810}
\mathscinet{https://mathscinet.ams.org/mathscinet-getitem?mr=3962367}
\transl
\jour J. Math. Sci.
\yr 2021
\vol 254
\issue 4
\pages 574--581
\crossref{https://doi.org/10.1007/s10958-021-05326-1}
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