Generalization of Lundberg's Inequality for the Case of Stock Insurance Company / A. A. Muromskaya. // Vestnik Moskovskogo Universiteta. Seriya 1. Matematika. Mekhanika. 2017. № 1. P. 32-36 [Moscow Univ. Math. Bulletin. Vol. 72, N 2, 2017. P. 31-34].
The ruin probability of an insurance company paying dividends according to a barrier strategy with a step barrier function is considered. Upper bounds for the probability of ruin are obtained within the framework of Sparre Andersen and Cramer–Lundberg risk models.
Key words: Sparre Andersen risk model, ruin probability, dividend payments, step barrier function, Cramer–Lundberg risk model.