An effective method for constructing bounds for ruin probabilities for the surplus process perturbed by diffusion

DOI10.1080/03461230903112190zbMath1226.91030OpenAlexW2162570338MaRDI QIDQ3103205

Cary Chi-Liang Tsai, Yi Lu

Publication date: 26 November 2011

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230903112190

zbMATH Keywords

orderingdiffusion processboundruin probabilitysurplus processcompound geometric distributionmaximal aggregate loss

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items

A note on ruin problems in perturbed classical risk models

Cites Work

• Unnamed Item
• Risk theory for the compound Poisson process that is perturbed by diffusion
• Stochastic orders
• Aging properties and bounds for ruin probabilities and stop-loss premiums
• Refinements and distributional generalizations of Lundberg's inequality
• On the \(n\)th stop-loss transform order of ruin probability.
• On the expectations of the present values of the time of ruin perturbed by diffusion.
• Simple approximations of ruin probabilities
• On the stop-loss transform and order for the surplus process perturbed by diffusion
• On the ordering of ruin probabilities for the surplus process perturbed by diffusion
• Some comparability results for waiting times in single- and many-server queues
• Ordering of risks and ruin probabilities

This page was built for publication: An effective method for constructing bounds for ruin probabilities for the surplus process perturbed by diffusion