Lundberg inequalities for renewal equations

DOI10.1239/aap/1005091359zbMath1003.60081OpenAlexW2093778745MaRDI QIDQ2759815

X. Sheldon Lin, Jun Cai, Gordon E. Willmot

Publication date: 23 May 2002

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1005091359

zbMATH Keywords

adjustment coefficientdefective renewal equationscompound geometricCramér-Lundberg asymptotic estimate

Mathematics Subject Classification ID

Queueing theory (aspects of probability theory) (60K25) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Related Items (23)

Subexponential potential asymptotics with applications ⋮ Bounds for the renewal function and related quantities ⋮ On the analysis of ruin-related quantities in the delayed renewal risk model ⋮ Refinement bounds for the expected number of renewal epochs over a finite interval ⋮ The Gerber-Shiu function and the generalized Cramér-Lundberg model ⋮ Upper and lower bounds for the solutions of Markov renewal equations ⋮ Compound geometric residual lifetime distributions and the deficit at ruin. ⋮ On the Gerber-Shiu function and change of measure ⋮ Tail bounds for the joint distribution of the surplus prior to and at ruin ⋮ Ruin probabilities with a Markov chain interest model ⋮ Discrete Lundberg-type bounds with actuarial applications ⋮ Non-exponential bounds for stop-loss premiums and ruin probabilities ⋮ Lundberg-type bounds and asymptotics for the moments of the time to ruin ⋮ Nonexponential asymptotics for the solutions of renewal equations, with applications ⋮ Refinements of two-sided bounds for renewal equations ⋮ Equivalent conditions of local asymptotics for the solutions of defective renewal equations, with applications ⋮ Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model ⋮ On the moments of the time to ruin in dependent Sparre Andersen models with emphasis on Coxian interclaim times ⋮ A Generalization of the Lundberg Condition in the Sparre Andersen Model and Some Applications ⋮ Asymptotics for solutions of a defective renewal equation with applications ⋮ The deficit at ruin in the stationary renewal risk model ⋮ The expected discounted penalty function under a risk model with stochastic income ⋮ “Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately before and at Ruin under the Sparre Andersen Model”, Andrew C. Y. Ng and Hailiang Yang, April 2005

This page was built for publication: Lundberg inequalities for renewal equations