Lundberg approximations for compound distributions with insurance applications
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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
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(64)- Bounds for the probability and severity of ruin in the Sparre Andersen model
- On upper bounds for the tail distribution of geometric sums of subexponential random variables
- Improved bounds on tails of convolutions of compound distributions: application to ruin probabilities for the risk process perturbed by diffusion
- Ruin probabilities in a finite-horizon risk model with investment and reinsurance
- On some lifetime distributions with decreasing failure rate
- Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.
- Modelling zero-inflated count data with a special case of the generalised Poisson distribution
- The Gerber-Shiu expected penalty function for the risk model with dependence and a constant dividend barrier
- On the Gerber-Shiu discounted penalty function for the ordinary renewal risk model with constant interest
- On the discounted distribution functions of the surplus process perturbed by diffusion.
- Compound geometric residual lifetime distributions and the deficit at ruin.
- Constant dividend barrier in a risk model with interclaim-dependent claim sizes
- Non-exponential bounds for stop-loss premiums and ruin probabilities
- A note on discounted compound renewal sums under dependency
- Complete monotonicity of the probability of ruin and de Finetti's dividend problem
- Covariance between the forward recurrence time and the number of renewals
- Limiting tail behaviour of some discrete compound distributions
- On the distribution of surplus immediately after ruin under interest force and subexponential claims
- The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
- Approximations for the Gerber-Shiu expected discounted penalty function in the compound poisson risk model
- A note on deficit analysis in dependency models involving Coxian claim amounts
- On the Gerber-Shiu discounted penalty function for subexponential claims
- Discrete Lundberg-type bounds with actuarial applications
- On the Moments of the Time of Ruin with Applications to Phase-Type Claims
- Computational methods in lattice-subspaces of \(C[a,b]\) with applications in portfolio insurance
- Sequences of improved two-sided bounds for the renewal function and the solutions of renewal-type equations
- Structural properties of Gerber-Shiu functions in dependent Sparre Andersen models
- Asymptotic expansions of defective renewal equations with applications to perturbed risk models and processor sharing queues
- Refinements and distributional generalizations of Lundberg's inequality
- A note on a class of delayed renewal risk processes
- Importance Sampling for Failure Probabilities in Computing and Data Transmission
- Symbolic calculation of the moments of the time of ruin.
- Bounds for the Ruin Probability of a Discrete-Time Risk Process
- On asymptotic equivalence among the solutions of some defective renewal equations
- Some results on the joint distribution prior to and at the time of ruin in the classical model
- Some aging properties involved with compound geometric distributions
- “On Optimal Dividend Strategies in the Compound Poisson Model”, by Elias S. W. Shiu and Hans U. Gerber, April 2006
- A Generalization of the Lundberg Condition in the Sparre Andersen Model and Some Applications
- 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
- A generalized defective renewal equation for the surplus process perturbed by diffusion.
- On mixed censored \(\delta \)-shock models
- The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function.
- Lundberg bounds on the tails of compound distributions
- Distributions of random variables involved in discrete censored δ-shock models
- A note on order statistics in the mixed Erlang case
- The Gerber-Shiu discounted penalty function in the stationary renewal risk model.
- Relations between integrated tails and moments based on the deficit at ruin in the 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 analysis of a class of loss models incorporating time dependence
- On the class of Erlang mixtures with risk theoretic applications
- scientific article; zbMATH DE number 1139951 (Why is no real title available?)
- Exact expressions and upper bound for ruin probabilities in the compound Markov binomial model
- Nonparametric statistical analysis of an upper bound of the ruin probability under large claims
- On the approximation of functions satisfying defective renewal equations
- The proper distribution function of the deficit in the delayed renewal risk 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
- Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin Under the Sparre Andersen Model
- Stochastic bounds for the Sparre Andersen process
- Monotonicity properties and the deficit at ruin in the Sparre Andersen model
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