Two-sided bounds of ruin probabilities

DOI10.1080/03461238.1996.10413959zbMath0845.62075OpenAlexW2020585108MaRDI QIDQ4881683

Vladimir Kalashnikov

Publication date: 18 September 1996

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

Full work available at URL: https://doi.org/10.1080/03461238.1996.10413959

zbMATH Keywords

numerical examplesrandom walkrenewal processgeometric distributiongeometric sumstwo-sided bounds of ruin probabilities

Mathematics Subject Classification ID

Related Items (13)

SIMPLE CONTINUITY INEQUALITIES FOR RUIN PROBABILITY IN THE CLASSICAL RISK MODEL ⋮ Moment and polynomial bounds for ruin-related quantities in risk theory ⋮ Bounds for Ruin Probabilities in the Presence of Large Claims and their Comparison ⋮ A wide class of heavy-tailed distributions and its applications ⋮ Power tailed ruin probabilities in the presence of risky investments. ⋮ Estimates of stability of geometric convolutions ⋮ Unnamed Item ⋮ Comparison of ruin probability estimates in the presence of heavy tails ⋮ Investigation of almost deterministic queueing systems ⋮ Functional sensitivity analysis of ruin probability in the classical risk models ⋮ Bounds of ruin probabilities ⋮ Obituary: Vladimir Kalashnikov (May 12, 1942--March 20, 2001) ⋮ Approximations for moments of deficit at ruin with exponential and subexponential claims.

Cites Work

• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Die bedeutung von KINGMANS integralungleichnngen bei der approximation der statlonären wartezeitverteilung im modell gi/g/1 mit und ohne verzögerung beim beginn einer beschäftigungsperiode
• The use of Spitzer's identity in the investigation of the busy period and other quantities in the queue GI/G/1
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