Upper Bounds for Ultimate Ruin Probabilities in the Risk Model with Continuous Increasing Variable Interest
Abstract:We consider the Sparre Andersen Model modified by the inclusion of a binary continuous variable interest force. The properties and presentation of accumulated surplus process are studied, the upper bounds for the ultimate ruin probabilities are derived by recursive techniques and adjustment coefficient equation system in increasing interest environment. The conclusion we derived is also a generalization of Lundberg-type upper bounds.