@techreport{66e5c0b2528b476cae96b40f1645e8f5,

title = "Approximating the Finite-Time Ruin Probability under Interest Force",

abstract = "We present an algorithm to determine both a lower and an upper bound for the finite-time probability of ruin for a risk process with constant interest force. We split the time horizon into smaller intervals of equal length and consider the probability of ruin in case premium income for a time interval is received at the beginning (resp. end) of that interval, which yields a lower (resp. upper) bound.For both bounds we present a renewal equation which depends on the distribution of the present value of the aggregate claim amount in a time interval.This distribution is determined through a generalization of Panjer's (1981) recursive method.",

keywords = "interest rate, probability",

author = "R.C.M. Brekelmans and {De Waegenaere}, A.M.B.",

note = "Pagination: 18",

year = "2000",

language = "English",

volume = "2000-111",

series = "CentER Discussion Paper",

publisher = "Operations research",

type = "WorkingPaper",

institution = "Operations research",

}