On the integrated tail of the deficit in the renewal risk model

DOI10.1007/S11009-013-9381-4MaRDI QIDQ2516397zbMATH OpenOpenAlexFDO

Authors Georgios Psarrakos

Publication date 31 July 2015

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

Full work available at URL https://doi.org/10.1007/s11009-013-9381-4

zbMATH Keywords

ruin probabilityrenewal risk modeldefective renewal equationcompound geometric distribution

Mathematics Subject Classification ID

Renewal theory (60K05)

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Cites work

• scientific article; zbMATH DE number 4013703 (Why is no real title available?)
• scientific article; zbMATH DE number 2188756 (Why is no real title available?)
• A note on convolutions of compound geometric distributions
• Aging properties and bounds for ruin probabilities and stop-loss premiums
• Bounds for classical ruin probabilities
• Closure properties of some partial orderings under mixing
• Compound geometric residual lifetime distributions and the deficit at ruin.
• Equilibrium compound distributions and stop-loss moments
• Error bounds for exponential approximations of geometric convolutions
• Lundberg-type bounds and asymptotics for the moments of the time to ruin
• Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
• Non-exponential bounds for stop-loss premiums and ruin probabilities
• Nonexponential asymptotics for the solutions of renewal equations, with applications
• On applications of residual lifetimes of compound geometric convolutions
• On higher-order properties of compound geometric distributions
• On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
• On the complete monotonicity of the compound geometric convolution with applications in risk theory
• Risk theory for the compound Poisson process that is perturbed by diffusion
• The Time Value of Ruin in a Sparre Andersen Model
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin

Cited in

(4)

• Tail bounds for the distribution of the deficit in the renewal risk model
• Relations between integrated tails and moments based on the deficit at ruin in the renewal risk model
• A compound trend renewal model for medical/professional liabilities
• scientific article; zbMATH DE number 6101279 (Why is no real title available?)

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