Lundberg approximations for compound distributions with insurance applications

zbMATH Open0962.62099MaRDI QIDQ1589920FDOQ1589920

Authors: Gordon E. Willmot, X. Sheldon Lin 

Publication date: 19 December 2000

Published in: Lecture Notes in Statistics (Search for Journal in Brave)

Recommendations

• Lundberg bounds on the tails of compound distributions
• Refinements and distributional generalizations of Lundberg's inequality
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• Some improvements on the Lundberg bound for the ruin probability
• Aspects of risk theory

zbMATH Keywords

reliabilitytime of ruincompound distributionsseverity of ruinasymptotic tail behaviourErlang mixturesbounds based on reliability classificationsbounds on ratios of discrete tail probabilitiescompound geometric distributionscompound negative binomial distributionsdelayed renewal risk processesequilibrium renewal risk processesinsurance risk modelingLundberg approximationsmixed Poisson distributionsmixture representations of conditional distributionsparametric boundsTijms approximationsWald-type martingale approach

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Research exposition (monographs, survey articles) pertaining to statistics (62-02)

Cited In (64)

• Improved bounds on tails of convolutions of compound distributions: application to ruin probabilities for the risk process perturbed by diffusion
• Discrete Lundberg-type bounds with actuarial applications
• “On Optimal Dividend Strategies in the Compound Poisson Model”, by Elias S. W. Shiu and Hans U. Gerber, April 2006
• On mixed censored \(\delta \)-shock models
• Distributions of random variables involved in discrete censored δ-shock models
• Relations between integrated tails and moments based on the deficit at ruin in the renewal risk model
• On upper bounds for the tail distribution of geometric sums of subexponential random variables
• Ruin probabilities in a finite-horizon risk model with investment and reinsurance
• Modelling zero-inflated count data with a special case of the generalised Poisson distribution
• On some lifetime distributions with decreasing failure rate
• On the Gerber-Shiu discounted penalty function for the ordinary renewal risk model with constant interest
• Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.
• The Gerber-Shiu expected penalty function for the risk model with dependence and a constant dividend barrier
• On the discounted distribution functions of the surplus process perturbed by diffusion.
• Compound geometric residual lifetime distributions and the deficit at ruin.
• Non-exponential bounds for stop-loss premiums and ruin probabilities
• Constant dividend barrier in a risk model with interclaim-dependent claim sizes
• A note on discounted compound renewal sums under dependency
• Complete monotonicity of the probability of ruin and de Finetti's dividend problem
• On the distribution of surplus immediately after ruin under interest force and subexponential claims
• Covariance between the forward recurrence time and the number of renewals
• Limiting tail behaviour of some discrete compound distributions
• Approximations for the Gerber-Shiu expected discounted penalty function in the compound poisson risk model
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• A note on deficit analysis in dependency models involving Coxian claim amounts
• On the Moments of the Time of Ruin with Applications to Phase-Type Claims
• On the Gerber-Shiu discounted penalty function for subexponential claims
• Sequences of improved two-sided bounds for the renewal function and the solutions of renewal-type equations
• Computational methods in lattice-subspaces of \(C[a,b]\) with applications in portfolio insurance
• Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
• Refinements and distributional generalizations of Lundberg's inequality
• Importance Sampling for Failure Probabilities in Computing and Data Transmission
• Asymptotic expansions of defective renewal equations with applications to perturbed risk models and processor sharing queues
• A note on a class of delayed renewal risk processes
• Symbolic calculation of the moments of the time of ruin.
• Bounds for the Ruin Probability of a Discrete-Time Risk Process
• Some results on the joint distribution prior to and at the time of ruin in the classical model
• On asymptotic equivalence among the solutions of some defective renewal equations
• A Generalization of the Lundberg Condition in the Sparre Andersen Model and Some Applications
• Some aging properties involved with compound geometric distributions
• Lévy insurance risk process with Poissonian taxation
• Randomized dividends in the compound binomial model with a general premium rate
• An adaptive premium policy with a Bayesian motivation in the classical risk model
• Lundberg bounds on the tails of compound distributions
• A generalized defective renewal equation for the surplus process perturbed by diffusion.
• The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
• A note on order statistics in the mixed Erlang case
• The Gerber-Shiu discounted penalty function in the stationary renewal risk model.
• Approximations of ruin probabilities in mixed Poisson models with lattice claim amounts
• Log-convexity of counting processes evaluated at a random end of observation time with applications to queueing models
• On the class of Erlang mixtures with risk theoretic applications
• On the analysis of a class of loss models incorporating time dependence
• Title not available (Why is that?)
• Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model
• The proper distribution function of the deficit in the delayed renewal risk model
• Nonparametric statistical analysis of an upper bound of the ruin probability under large claims
• On the approximation of functions satisfying defective renewal equations
• Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin Under the Sparre Andersen Model
• Refinements of bounds for tails of compound distributions and ruin probabilities
• The preservation of classes of discrete distributions under convolution and mixing
• Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model
• Stochastic bounds for the Sparre Andersen process
• Monotonicity properties and the deficit at ruin in the Sparre Andersen model
• Bounds for the probability and severity of ruin in the Sparre Andersen model

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