Lundberg-type bounds and asymptotics for the moments of the time to ruin

DOI10.1007/S11009-008-9102-6MaRDI QIDQ2270189zbMATH OpenOpenAlexFDO

Authors Vaios Dermitzakis, Susan M. Pitts, Konstadinos Politis

Publication date 15 March 2010

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-008-9102-6

zbMATH Keywords

ruin probabilitytime to ruinruin modelLundberg-type bounds

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

Recommendations

• Some improvements on the Lundberg bound for the ruin probability
• Approximations and upper bounds on probabilities of large deviations in the problem of ruin within finite time
• A limit theorem for the time of ruin in a Gaussian ruin problem
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• Asymptotics of ruin probabilities for perturbed discrete time risk processes
• Bounds for the Ruin Probability of a Discrete-Time Risk Process
• scientific article; zbMATH DE number 6315464
• Uniform asymptotics of ruin probabilities for Lévy processes

Cites work

• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Lundberg inequalities for renewal equations
• On convolution tails
• Simple approximations of ruin probabilities
• Subexponential distributions and characterizations of related classes
• Subexponential distributions and integrated tails
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• The rate of convergence for subexponential distributions and densities
• Upper bounds on the expected time to ruin and on the expected recovery time

Cited in

(8)

• Upper bounds on the expected time to ruin and on the expected recovery time
• scientific article; zbMATH DE number 1995774 (Why is no real title available?)
• Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion
• Discrete Lundberg-type bounds with actuarial applications
• Moments of the ruin time in a Lévy risk model
• Improved asymptotic upper bounds on the ruin capital in the Lundberg model of risk
• Asymptotics for the time of ruin in the war of attrition
• On the integrated tail of the deficit in the renewal risk model

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