On a class of approximations for ruin and waiting time probabilities

DOI10.1016/S0167-6377(97)00046-1zbMath0911.90172OpenAlexW2017024439MaRDI QIDQ1267184

Gordon E. Willmot

Publication date: 6 October 1998

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6377(97)00046-1

zbMATH Keywords

queueruin probabilitygamma distributionIFRcompound geometric distributionNWUCNBUCCramer-Lundberg asymptoticsruin and waiting time probabilitiestail correctionsTijms-type approximations

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Queues and service in operations research (90B22)

Related Items (7)

The deficit at ruin in the Sparre Andersen model with interest ⋮ Reliability assessment for censored \(\delta\)-shock models ⋮ On Evaluation of the Conditional Distribution of the Deficit at the Time of Ruin ⋮ Analysis of a defective renewal equation arising in ruin theory ⋮ Exact and approximate properties of the distribution of surplus before and after ruin ⋮ Ruin Probabilities and Deficit for the Renewal Risk Model with Phase-type Interarrival Times ⋮ The moments of the time of ruin, the surplus before ruin, and the deficit at ruin

Cites Work

• 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
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