Relations between integrated tails and moments based on the deficit at ruin in the renewal risk model (Q5039802): Difference between revisions

Latest revision as of 06:57, 30 July 2024

scientific article; zbMATH DE number 7596347

Language	Label	Description	Also known as
English	Relations between integrated tails and moments based on the deficit at ruin in the renewal risk model	scientific article; zbMATH DE number 7596347

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instance of

scholarly article

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title

Relations between integrated tails and moments based on the deficit at ruin in the renewal risk model (English)

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author

Georgios Psarrakos

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published in

Communications in Statistics - Theory and Methods

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publication date

4 October 2022

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zbMATH Keywords

renewal risk model

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ruin probability

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deficit at ruin

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ladder heights

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equilibrium distribution

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aging properties

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/03610926.2021.1875244

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cites work

An algebraic operator approach to the analysis of Gerber-Shiu functions

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On ruin probability and aggregate claim representations for Pareto claim size distributions

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On the \(n\)th stop-loss transform order of ruin probability.

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Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process

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On a Class of Renewal Risk Processes

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Ruin probabilities for Erlang (2) risk processes

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Ruin Problems for Phase-Type(2) Risk Processes

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On the Time Value of Ruin

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The Time Value of Ruin in a Sparre Andersen Model

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Densities of ruin-related quantities in the Cramér-Lundberg model with Pareto claims

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Exponential and scale mixtures and equilibrium distributions

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Relations for reliability measures of weighted distributions

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The moments of the time of ruin, the surplus before ruin, and the deficit at ruin

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On the Laplace transform of the Pareto distribution

0 references

On the integrated tail of the deficit in the renewal risk model

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A solution to the ruin problem for Pareto distributions.

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The Distribution of Sums of Certain I.I.D. Pareto Variates

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The distribution of compound sums of Pareto distributed losses

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Q4230625

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Q2801416

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Compound geometric residual lifetime distributions and the deficit at ruin.

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On higher-order properties of compound geometric distributions

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

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Equilibrium compound distributions and stop-loss moments

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Lundberg approximations for compound distributions with insurance applications

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Equilibrium Distributions of Discrete Phase Type

0 references

Identifiers

DOI

10.1080/03610926.2021.1875244

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5039802

@@ Property / cites work @@
+An algebraic operator approach to the analysis of Gerber-Shiu functions
+Normal rank
@@ Property / cites work @@
+On ruin probability and aggregate claim representations for Pareto claim size distributions
+Normal rank
@@ Property / cites work @@
+On the \(n\)th stop-loss transform order of ruin probability.
+Normal rank
@@ Property / cites work @@
+Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
+Normal rank
@@ Property / cites work @@
+On a Class of Renewal Risk Processes
@@ Property / cites work: On a Class of Renewal Risk Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Ruin probabilities for Erlang (2) risk processes
@@ Property / cites work: Ruin probabilities for Erlang (2) risk processes / rank @@
+Normal rank
@@ Property / cites work @@
+Ruin Problems for Phase-Type(2) Risk Processes
@@ Property / cites work: Ruin Problems for Phase-Type(2) Risk Processes / rank @@
+Normal rank
@@ Property / cites work @@
+On the Time Value of Ruin
@@ Property / cites work: On the Time Value of Ruin / rank @@
+Normal rank
@@ Property / cites work @@
+The Time Value of Ruin in a Sparre Andersen Model
@@ Property / cites work: The Time Value of Ruin in a Sparre Andersen Model / rank @@
+Normal rank
@@ Property / cites work @@
+Densities of ruin-related quantities in the Cramér-Lundberg model with Pareto claims
+Normal rank
@@ Property / cites work @@
+Exponential and scale mixtures and equilibrium distributions
+Normal rank
@@ Property / cites work @@
+Relations for reliability measures of weighted distributions
+Normal rank
@@ Property / cites work @@
+The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
+Normal rank
@@ Property / cites work @@
+On the Laplace transform of the Pareto distribution
+Normal rank
@@ Property / cites work @@
+On the integrated tail of the deficit in the renewal risk model
+Normal rank
@@ Property / cites work @@
+A solution to the ruin problem for Pareto distributions.
+Normal rank
@@ Property / cites work @@
+The Distribution of Sums of Certain I.I.D. Pareto Variates
+Normal rank
@@ Property / cites work @@
+The distribution of compound sums of Pareto distributed losses
+Normal rank
@@ Property / cites work @@
+Q4230625
@@ Property / cites work: Q4230625 / rank @@
+Normal rank
@@ Property / cites work @@
+Q2801416
@@ Property / cites work: Q2801416 / rank @@
+Normal rank
@@ Property / cites work @@
+Compound geometric residual lifetime distributions and the deficit at ruin.
+Normal rank
@@ Property / cites work @@
+On higher-order properties of compound geometric distributions
+Normal rank
@@ Property / cites work @@
+On the discounted penalty function in the renewal risk model with general interclaim times
+Normal rank
@@ Property / cites work @@
+Equilibrium compound distributions and stop-loss moments
+Normal rank
@@ Property / cites work @@
+Lundberg approximations for compound distributions with insurance applications
+Normal rank
@@ Property / cites work @@
+Equilibrium Distributions of Discrete Phase Type
@@ Property / cites work: Equilibrium Distributions of Discrete Phase Type / rank @@
+Normal rank