On the deficit distribution when ruin occurs -- discrete time model

DOI10.1016/J.INSMATHECO.2004.09.001zbMATH Open1110.91018OpenAlexW2003158661MaRDI QIDQ2483944FDOQ2483944

Authors: L. Gajek 

Publication date: 1 August 2005

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.09.001

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zbMATH Keywords

NWURuin probabilityAdjustment coefficientCramér-Lundberg inequality

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70)

Cites Work

• Title not available (Why is that?)
• Empirical Laplace transform and approximation of compound distributions
• Empirical bounds for ruin probabilities
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• On the estimation of the adjustment coefficient in risk theory via intermediate order statistics
• On the Distribution of the Surplus Prior and at Ruin
• Title not available (Why is that?)
• Title not available (Why is that?)
• A note on positive supermartingales in ruin theory

Cited In (12)

• General methods for bounding multidimensional ruin probabilities in regime-switching models
• Tail bounds for the distribution of the deficit in the renewal risk model
• Moments of deficit duration and its proportion in general compound binomial model
• Inequalities for the probability of ruin in a reinsurance risk model with \(m\)-dependence assumptions
• Deficit distributions at ruin in a regime-switching Sparre Andersen model
• Banach contraction principle and ruin probabilities in regime-switching models
• A generalization of Gerber's inequality for ruin probabilities in risk-switching models
• Controlled risk processes in discrete time: lower and upper approximations to the optimal probability of ruin
• Finite-horizon ruin probabilities in a risk-switching Sparre Andersen model
• Optimal reinsurance of dependent risks
• Sharp approximations of ruin probabilities in the discrete time models
• General bounds for the deficit distribution at ruin in the sparre Andersen model

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