An effective method for constructing bounds for ruin probabilities for the surplus process perturbed by diffusion.

DOI10.1080/03461230903112190MaRDI QIDQ3103205zbMATH OpenOpenAlexFDO

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

ordering diffusion process ruin probability bound surplus process compound geometric distribution maximal aggregate loss

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 2172354 (Why is no real title available?)
Aging properties and bounds for ruin probabilities and stop-loss premiums
On the \(n\)th stop-loss transform order of ruin probability.
On the expectations of the present values of the time of ruin perturbed by diffusion.
On the ordering of ruin probabilities for the surplus process perturbed by diffusion
On the stop-loss transform and order for the surplus process perturbed by diffusion
Ordering of risks and ruin probabilities
Refinements and distributional generalizations of Lundberg's inequality
Risk theory for the compound Poisson process that is perturbed by diffusion
Simple approximations of ruin probabilities
Some comparability results for waiting times in single- and many-server queues
Stochastic orders

Cited in

(8)

ESTIMATION OF VALUE AT RISK AND RUIN PROBABILITY FOR DIFFUSION PROCESSES WITH JUMPS
A note on ruin problems in perturbed classical risk models
Improved bounds on tails of convolutions of compound distributions: application to ruin probabilities for the risk process perturbed by diffusion
Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
On the stop-loss transform and order for the surplus process perturbed by diffusion
Ordering ruin probabilities resulting from layer-based claim amounts for surplus process perturbed by diffusion
A generalized defective renewal equation for the surplus process perturbed by diffusion.
On the ordering of ruin probabilities for the surplus process perturbed by diffusion

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