Tid: 22 oktober 1996 kl 1515-1700 (OBS Dagen)
Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!
Föredragshållare: Vladimir Kalashnikov, VKALASH@lueuklides.math.lu.se
Titel: Bounds of ruin probability in the presence of large claims and their comparison
Sammanfattning: We propose two types of bounds for ruin probabilities: two-sided bounds based on renewal arguments applied to related geometric sums and upper bounds obtained by the test function method. The latter bounds can be regarded as some refinement of recent Willmot's results. Numerical results giving vivid impression about the bounds are proposed.