Compound geometric residual lifetime distributions and the deficit at ruin.

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

Gordon E. Willmot

Publication date: 16 November 2003

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

zbMATH Keywords

Erlang; DFR; NBU; NWU; IMRL; Failure rate; Sparre Andersen process; Defective renewal equation; Hyperexponential; Ladder height; Lundberg approximation; Mean residual lifetime; Renewal risk process

Mathematics Subject Classification ID

62E15: Exact distribution theory in statistics

60K10: Applications of renewal theory (reliability, demand theory, etc.)

62N05: Reliability and life testing

Related Items

On applications of residual lifetimes of compound geometric convolutions, Some properties of ageing notions based on the moment-generating-function order, Discrete Lundberg-type bounds with actuarial applications, Non-exponential bounds for stop-loss premiums and ruin probabilities, The Joint Density of the Surplus Before and After Ruin in the Sparre Andersen Model, A Functional Approach for Ruin Probabilities, The deficit at ruin in the stationary renewal risk model, 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, A note on a class of delayed renewal risk processes, Tail bounds for the joint distribution of the surplus prior to and at ruin, Tail bounds for the distribution of the deficit in the renewal risk model, Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model, Asymptotic results for heavy-tailed distributions using defective renewal equations, A note on convolutions of compound geometric distributions, Refinements of two-sided bounds for renewal equations, Bounds for the probability and severity of ruin in the Sparre Andersen model, RATIO MONOTONICITY FOR TAIL PROBABILITIES IN THE RENEWAL RISK MODEL, Monotonicity properties and the deficit at ruin in the Sparre Andersen model, Some results on the joint distribution prior to and at the time of ruin in the classical model, A Generalization of the Lundberg Condition in the Sparre Andersen Model and Some Applications

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