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

DOI10.1007/S11009-013-9381-4zbMATH Open1319.60171OpenAlexW1978734126MaRDI QIDQ2516397FDOQ2516397

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

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zbMATH Keywords

ruin probabilityrenewal risk modeldefective renewal equationcompound geometric distribution

Mathematics Subject Classification ID

Renewal theory (60K05)

Cites Work

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• The Time Value of Ruin in a Sparre Andersen Model
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• Risk theory for the compound Poisson process that is perturbed by diffusion
• On max-sum equivalence and convolution closure of heavy-tailed distributions and their applications
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• Lundberg-type bounds and asymptotics for the moments of the time to ruin
• Nonexponential asymptotics for the solutions of renewal equations, with applications
• Compound geometric residual lifetime distributions and the deficit at ruin.
• Moments of the Surplus before Ruin and the Deficit at Ruin in the Erlang(2) Risk Process
• Bounds for classical ruin probabilities
• On applications of residual lifetimes of compound geometric convolutions
• Error bounds for exponential approximations of geometric convolutions
• Non-exponential bounds for stop-loss premiums and ruin probabilities
• A note on convolutions of compound geometric distributions
• On the complete monotonicity of the compound geometric convolution with applications in risk theory
• Aging properties and bounds for ruin probabilities and stop-loss premiums
• On higher-order properties of compound geometric distributions
• Closure properties of some partial orderings under mixing
• Equilibrium compound distributions and stop-loss moments

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
• Title not available (Why is that?)

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