Bounds for the probability and severity of ruin in the Sparre Andersen model

DOI10.1016/j.insmatheco.2004.11.001zbMath1117.91383OpenAlexW2024209673MaRDI QIDQ2485542

Konstadinos Politis

Publication date: 5 August 2005

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.11.001

zbMATH Keywords

Sparre Andersen modelRuin probabilitySeverity of ruin

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

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Cites Work

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• Lundberg approximations for compound distributions with insurance applications
• Two-Sided Bounds for Ruin Probabilities when the Adjustment Coefficient does not Exist
• On a Class of Renewal Risk Processes