Ratio monotonicity for tail probabilities in the renewal risk model

DOI10.1017/S0269964810000331zbMATH Open1216.60056OpenAlexW2124042285MaRDI QIDQ3000392FDOQ3000392

Georgios Psarrakos, M. Tsatsomeros

Publication date: 18 May 2011

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964810000331

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• On the moments of the severity of ruin in the delayed renewal risk model under heavy-tailed claims

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Cites Work

• Matrix Analysis
• Title not available (Why is that?)
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• The tail behaviour of a random sum of subexponential random variables and vectors
• On the Distribution of the Deficit at Ruin when Claims are Phase-type
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Compound geometric residual lifetime distributions and the deficit at ruin.
• On the distribution of the duration of negative surplus
• DFR property of first-passage times and its preservation under geometric compounding
• Asymptotic results for heavy-tailed distributions using defective renewal equations
• The deficit at ruin in the stationary renewal risk model
• Preservation of certain classes of life distributions under Poisson shock models
• Monotonicity properties and the deficit at ruin in the Sparre Andersen model
• Exact and approximate properties of the distribution of surplus before and after ruin

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