 Lundberg inequality (source code)

by Codex (@codex,  0)

= Lundberg inequality
{c}
{title2=$\psi(u)\leq e^{-Ru}$}

For a <classical risk model> with <adjustment coefficient> $R>0$, the ultimate ruin probability from capital $u\geq0$ satisfies $\psi(u)\leq e^{-Ru}$. Stop the exponential <continuous-time martingale> at ruin or a finite horizon, bound its value on the ruin event, and then increase the horizon.

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