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

DOI10.1007/S11009-008-9102-6zbMATH Open1185.91093OpenAlexW2035663638MaRDI QIDQ2270189FDOQ2270189

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

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
• Uniform asymptotics of the finite-time ruin probability for all times
• 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

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• On convolution tails
• Subexponential distributions and characterizations of related classes
• Title not available (Why is that?)
• Simple approximations of ruin probabilities
• Subexponential distributions and integrated tails
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• Lundberg inequalities for renewal equations
• 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)

• Title not available (Why is that?)
• 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
• Upper bounds on the expected time to ruin and on the expected recovery time

This page was built for publication: Lundberg-type bounds and asymptotics for the moments of the time to ruin

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2270189)