Abstract
We present a universal methodology for bounding multidimensional ultimate ruin probabilities in regime-switching models. Some new lower and upper bounds on are given. The considered methods are applicable to several discrete- and continuous time risk models. As an example, we construct a variety of new two-sided operator bounds which converge to with an exponential rate. Several numerical examples are also provided.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have