Use of differential and integral inequalities to bound ruin and queuing probabilities

DOI10.1080/03461238.1976.10405616zbMath0338.60005OpenAlexW1971527307MaRDI QIDQ4107264

Gregory Clive Taylor

Publication date: 1976

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

Full work available at URL: https://doi.org/10.1080/03461238.1976.10405616

Mathematics Subject Classification ID

Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Axioms; other general questions in probability (60A05)

Related Items (14)

The Ruin Probability of a Discrete-Time Risk Model with a One-Sided Linear Claim Process ⋮ Refinements and distributional generalizations of Lundberg's inequality ⋮ Banach contraction principle and ruin probabilities in regime-switching models ⋮ Upper and lower bounds on infinite time ruin probabilities in case of constraints on claim size distributions ⋮ On a risk measure inspired from the ruin probability and the expected deficit at ruin ⋮ General methods for bounding multidimensional ruin probabilities in regime-switching models ⋮ A generalization of Gerber's inequality for ruin probabilities in risk-switching models ⋮ Finite-horizon ruin probabilities in a risk-switching Sparre Andersen model ⋮ Ordering of risks and ruin probabilities ⋮ Refinements of bounds for tails of compound distributions and ruin probabilities ⋮ Analytical best upper bounds on stop-loss premiums ⋮ Rate of convergence of the probability of ruin in the Cramér-Lundberg model to its diffusion approximation ⋮ Bounds for classical ruin probabilities ⋮ Two-sided Lundberg inequalities in a Markovian environment

Cites Work

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