On a class of approximations for ruin and waiting time probabilities
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Publication:1267184
DOI10.1016/S0167-6377(97)00046-1zbMath0911.90172MaRDI QIDQ1267184
Publication date: 6 October 1998
Published in: Operations Research Letters (Search for Journal in Brave)
queue; ruin probability; gamma distribution; IFR; compound geometric distribution; NWUC; NBUC; Cramer-Lundberg asymptotics; ruin and waiting time probabilities; tail corrections; Tijms-type approximations
60K25: Queueing theory (aspects of probability theory)
90B22: Queues and service in operations research
Related Items
Ruin Probabilities and Deficit for the Renewal Risk Model with Phase-type Interarrival Times, The deficit at ruin in the Sparre Andersen model with interest, Exact and approximate properties of the distribution of surplus before and after ruin, The moments of the time of ruin, the surplus before ruin, and the deficit at ruin, Analysis of a defective renewal equation arising in ruin theory, On Evaluation of the Conditional Distribution of the Deficit at the Time of Ruin
Cites Work
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- Further use of Shiu's approach to the evaluation of ultimate ruin probabilities
- The Fourier-series method for inverting transforms of probability distributions
- Generalizations of the Pollaczek-Khinchin integral equation in the theory of queues
- Preservation of certain classes of life distributions under Poisson shock models
- Exponential Approximations for Tail Probabilities in Queues, I: Waiting Times
- Tail of compound distributions and excess time