On higher-order properties of compound geometric distributions

DOI10.1239/JAP/1025131429zbMath1013.62008OpenAlexW2035250568MaRDI QIDQ3153657

Gordon E. Willmot

Publication date: 29 April 2003

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1025131429

zbMATH Keywords

Laplace-Stieltjes transformIFRDFRNBUNWUstop-loss premiumequilibrium distributionsresidual lifetime distributionstime of ruinDMRLIMRLNBUEdefective renewal equationcompound geometric distributionmean residual lifetimeNWUCNBUCLundberg boundNWUEintegrated tails2-NBU2-NWUstop-loss moments

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Reliability and life testing (62N05)

Related Items (14)

Relations between integrated tails and moments based on the deficit at ruin in the renewal risk model ⋮ The moments of the time to ruin in dependent Sparre Andersen models with Coxian claim sizes ⋮ Applications of the classical compound Poisson model with claim sizes following a compound distribution ⋮ Differential calculus for linear operators represented by finite signed measures and applications ⋮ Symbolic calculation of the moments of the time of ruin. ⋮ On the Moments of the Time of Ruin with Applications to Phase-Type Claims ⋮ Monotonicity and aging properties of random sums ⋮ On applications of residual lifetimes of compound geometric convolutions ⋮ Some properties of ageing notions based on the moment-generating-function order ⋮ Discrete Lundberg-type bounds with actuarial applications ⋮ Equilibrium compound distributions and stop-loss moments ⋮ Non-exponential bounds for stop-loss premiums and ruin probabilities ⋮ On the integrated tail of the deficit in the renewal risk model ⋮ Refinements of bounds for tails of compound distributions and ruin probabilities

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