Compound geometric residual lifetime distributions and the deficit at ruin.

DOI10.1016/S0167-6687(02)00122-1zbMath1039.62097OpenAlexW1986265596MaRDI QIDQ1413328

Gordon E. Willmot

Publication date: 16 November 2003

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(02)00122-1

zbMATH Keywords

ErlangDFRNBUNWUIMRLFailure rateSparre Andersen processDefective renewal equationHyperexponentialLadder heightLundberg approximationMean residual lifetimeRenewal risk process

Mathematics Subject Classification ID

Related Items (30)

Relations between integrated tails and moments based on the deficit at ruin in the renewal risk model ⋮ A note on a class of delayed renewal risk processes ⋮ On the complete monotonicity of the compound geometric convolution with applications in risk theory ⋮ On asymptotic equivalence among the solutions of some defective renewal equations ⋮ Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models ⋮ On the DFR property of the compound geometric distribution with applications in risk theory ⋮ RATIO MONOTONICITY FOR TAIL PROBABILITIES IN THE RENEWAL RISK MODEL ⋮ Tail bounds for the joint distribution of the surplus prior to and at ruin ⋮ Monotonicity properties for solutions of renewal equations ⋮ Exit times, overshoot and undershoot for a surplus process in the presence of an upper barrier ⋮ Bounds for the probability and severity of ruin in the Sparre Andersen model ⋮ On applications of residual lifetimes of compound geometric convolutions ⋮ Some properties of ageing notions based on the moment-generating-function order ⋮ Tail bounds for the distribution of the deficit in the renewal risk model ⋮ Discrete Lundberg-type bounds with actuarial applications ⋮ Non-exponential bounds for stop-loss premiums and ruin probabilities ⋮ Ruin probabilities under capital constraints ⋮ The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model ⋮ Refinements of two-sided bounds for renewal equations ⋮ A Functional Approach for Ruin Probabilities ⋮ Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model ⋮ On the integrated tail of the deficit in the renewal risk model ⋮ A Generalization of the Lundberg Condition in the Sparre Andersen Model and Some Applications ⋮ Monotonicity properties and the deficit at ruin in the Sparre Andersen model ⋮ Asymptotic results for heavy-tailed distributions using defective renewal equations ⋮ The deficit at ruin in the stationary renewal risk model ⋮ Some aging properties involved with compound geometric distributions ⋮ A note on convolutions of compound geometric distributions ⋮ Some results on the joint distribution prior to and at the time of ruin in the classical model ⋮ The proper distribution function of the deficit in the delayed renewal risk model

Cites Work

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• Stochastic ordering and dependence in applied probability
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• Lundberg approximations for compound distributions with insurance applications
• Analysis of a defective renewal equation arising in ruin theory
• On Evaluation of the Conditional Distribution of the Deficit at the Time of Ruin
• Ruin Problems for Phase-Type(2) Risk Processes
• Lundberg inequalities for renewal equations
• On the concavity of the waiting-time distribution in some GI/G/1 queues
• Preservation of certain classes of life distributions under Poisson shock models
• NWU property of a class of random sums
• A laplace transform representation in a class of renewal queueing and risk processes

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