An effective method for constructing bounds for ruin probabilities for the surplus process perturbed by diffusion.
DOI10.1080/03461230903112190zbMATH Open1226.91030OpenAlexW2162570338MaRDI QIDQ3103205FDOQ3103205
Authors: Cary Chi-Liang Tsai, Yi Lu 
Publication date: 26 November 2011
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461230903112190
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orderingdiffusion processruin probabilityboundsurplus processcompound geometric distributionmaximal aggregate loss
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Cites Work
- Stochastic orders
- Simple approximations of ruin probabilities
- Risk theory for the compound Poisson process that is perturbed by diffusion
- Some comparability results for waiting times in single- and many-server queues
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- Refinements and distributional generalizations of Lundberg's inequality
- On the expectations of the present values of the time of ruin perturbed by diffusion.
- Ordering of risks and ruin probabilities
- On the \(n\)th stop-loss transform order of ruin probability.
- Aging properties and bounds for ruin probabilities and stop-loss premiums
- On the stop-loss transform and order for the surplus process perturbed by diffusion
- On the ordering of ruin probabilities for the surplus process perturbed by diffusion
Cited In (8)
- Improved bounds on tails of convolutions of compound distributions: application to ruin probabilities for the risk process perturbed by diffusion
- On the ordering of ruin probabilities for the surplus process perturbed by diffusion
- A generalized defective renewal equation for the surplus process perturbed by diffusion.
- On the stop-loss transform and order for the surplus process perturbed by diffusion
- A note on ruin problems in perturbed classical risk models
- Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
- ESTIMATION OF VALUE AT RISK AND RUIN PROBABILITY FOR DIFFUSION PROCESSES WITH JUMPS
- Ordering ruin probabilities resulting from layer-based claim amounts for surplus process perturbed by diffusion
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