Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest

Abstract

We consider the Sparre Andersen model modified by the inclusion of interest on the surplus. Exponential type upper bounds for the ultimate ruin probability are derived by martingale and recursive techniques. Applications of the results to the compound Poisson model are given. Numerical comparisons of upper bounds derived by each technique are presented. © 2002 Elsevier Science B.V. All rights reserved.