On the complete monotonicity of the compound geometric convolution with applications in risk theory (Q4576842): Difference between revisions

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scientific article; zbMATH DE number 6901154

Language	Label	Description	Also known as
English	On the complete monotonicity of the compound geometric convolution with applications in risk theory	scientific article; zbMATH DE number 6901154

Statements

instance of

scholarly article

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title

On the complete monotonicity of the compound geometric convolution with applications in risk theory (English)

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published in

Scandinavian Actuarial Journal

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publication date

11 July 2018

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zbMATH Keywords

complete monotonicity

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compound geometric convolution

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Pollaczeck-Khinchine formula

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ruin probability

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Sparre Andersen model

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/03461238.2011.647061

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cites work

Some classes of completely monotonic functions. II

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Q3560912

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Error bounds for exponential approximations of geometric convolutions

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NWU property of a class of random sums

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Risk theory for the compound Poisson process that is perturbed by diffusion

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Q5512461

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On integral equations of Volterra type

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Risk processes perturbed by α-stable Lévy motion

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Asymptotic methods in reliability theory: a review

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On positive, nonincreasing resolvents of Volterra equations

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Complete monotonicity of the representative consumer's discount factor

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Exponential spectra as a tool for the study of server-systems with several classes of customers

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On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes

0 references

An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density

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On Volterra integral equations with nonnegative integrable resolvents

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Distributions with complete monotone derivative and geometric infinite divisibility

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Wiener-Hopf Factorization of Diffusions and Lévy Processes

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Q4230625

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DFR property of first-passage times and its preservation under geometric compounding

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Potential theory of special subordinators and subordinate killed stable processes

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Classes of probability density functions having Laplace transforms with negative zeros and poles

0 references

On the concavity of the waiting-time distribution in some <i>GI</i>/<i>G</i>/1 queues

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Q5846853

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Compound geometric residual lifetime distributions and the deficit at ruin.

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On the discounted penalty function in the renewal risk model with general interclaim times

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On applications of residual lifetimes of compound geometric convolutions

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Bounds on the tails of convolutions of compound distributions

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Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approach

0 references

Complete monotonicity of the entropy in the central limit theorem for gamma and inverse Gaussian distributions

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Identifiers

zbMATH Open document ID

1401.91114

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DOI

10.1080/03461238.2011.647061

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4576842

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+W1998056163
@@ Property / OpenAlex ID: W1998056163 / rank @@
+Normal rank
@@ Property / cites work @@
+Some classes of completely monotonic functions. II
+Normal rank
@@ Property / cites work @@
+Q3560912
@@ Property / cites work: Q3560912 / rank @@
+Normal rank
@@ Property / cites work @@
+Error bounds for exponential approximations of geometric convolutions
+Normal rank
@@ Property / cites work @@
+NWU property of a class of random sums
@@ Property / cites work: NWU property of a class of random sums / rank @@
+Normal rank
@@ Property / cites work @@
+Risk theory for the compound Poisson process that is perturbed by diffusion
+Normal rank
@@ Property / cites work @@
+Q5512461
@@ Property / cites work: Q5512461 / rank @@
+Normal rank
@@ Property / cites work @@
+On integral equations of Volterra type
@@ Property / cites work: On integral equations of Volterra type / rank @@
+Normal rank
@@ Property / cites work @@
+Risk processes perturbed by α-stable Lévy motion
+Normal rank
@@ Property / cites work @@
+Asymptotic methods in reliability theory: a review
+Normal rank
@@ Property / cites work @@
+On positive, nonincreasing resolvents of Volterra equations
+Normal rank
@@ Property / cites work @@
+Complete monotonicity of the representative consumer's discount factor
+Normal rank
@@ Property / cites work @@
+Exponential spectra as a tool for the study of server-systems with several classes of customers
+Normal rank
@@ Property / cites work @@
+On optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes
+Normal rank
@@ Property / cites work @@
+An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density
+Normal rank
@@ Property / cites work @@
+On Volterra integral equations with nonnegative integrable resolvents
+Normal rank
@@ Property / cites work @@
+Distributions with complete monotone derivative and geometric infinite divisibility
+Normal rank
@@ Property / cites work @@
+Wiener-Hopf Factorization of Diffusions and Lévy Processes
+Normal rank
@@ Property / cites work @@
+Q4230625
@@ Property / cites work: Q4230625 / rank @@
+Normal rank
@@ Property / cites work @@
+DFR property of first-passage times and its preservation under geometric compounding
+Normal rank
@@ Property / cites work @@
+Potential theory of special subordinators and subordinate killed stable processes
+Normal rank
@@ Property / cites work @@
+Classes of probability density functions having Laplace transforms with negative zeros and poles
+Normal rank
@@ Property / cites work @@
+On the concavity of the waiting-time distribution in some <i>GI</i>/<i>G</i>/1 queues
+Normal rank
@@ Property / cites work @@
+Q5846853
@@ Property / cites work: Q5846853 / rank @@
+Normal rank
@@ Property / cites work @@
+Compound geometric residual lifetime distributions and the deficit at ruin.
+Normal rank
@@ Property / cites work @@
+On the discounted penalty function in the renewal risk model with general interclaim times
+Normal rank
@@ Property / cites work @@
+On applications of residual lifetimes of compound geometric convolutions
+Normal rank
@@ Property / cites work @@
+Bounds on the tails of convolutions of compound distributions
+Normal rank
@@ Property / cites work @@
+Optimality of the barrier strategy in de Finetti's dividend problem for spectrally negative Lévy processes: an alternative approach
+Normal rank
@@ Property / cites work @@
+Complete monotonicity of the entropy in the central limit theorem for gamma and inverse Gaussian distributions
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:4576842