Ratio monotonicity for tail probabilities in the renewal risk model

DOI10.1017/S0269964810000331MaRDI QIDQ3000392zbMATH OpenOpenAlexFDO

Authors 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

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• scientific article; zbMATH DE number 734901 (Why is no real title available?)
• Asymptotic results for heavy-tailed distributions using defective renewal equations
• Compound geometric residual lifetime distributions and the deficit at ruin.
• DFR property of first-passage times and its preservation under geometric compounding
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Exact and approximate properties of the distribution of surplus before and after ruin
• Matrix Analysis
• Monotonicity properties and the deficit at ruin in the Sparre Andersen model
• On the Distribution of the Deficit at Ruin when Claims are Phase-type
• On the distribution of the duration of negative surplus
• Preservation of certain classes of life distributions under Poisson shock models
• The deficit at ruin in the stationary renewal risk model
• The tail behaviour of a random sum of subexponential random variables and vectors

Cited in

(1)

• Monotonicity properties and the deficit at ruin in the Sparre Andersen model

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