Some results on the joint distribution prior to and at the time of ruin in the classical model
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Publication:3103209
DOI10.1080/03461230903184504zbMath1226.91029OpenAlexW2036038930MaRDI QIDQ3103209
Publication date: 26 November 2011
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461230903184504
ruin probabilityrenewal equationdeficit at ruinsurplus prior to ruinDFR classIMRL class2-NBU class2-NWU class
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Cites Work
- Bounds for classical ruin probabilities
- Error bounds for exponential approximations of geometric convolutions
- Tail bounds for the joint distribution of the surplus prior to and at ruin
- Tail bounds for the distribution of the deficit in the renewal risk model
- DFR property of first-passage times and its preservation under geometric compounding
- The surpluses immediately before and at ruin, and the amount of the claim causing ruin
- On the distribution of the surplus prior to ruin
- Exact and approximate properties of the distribution of surplus before and after ruin
- The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
- Compound geometric residual lifetime distributions and the deficit at ruin.
- Lundberg approximations for compound distributions with insurance applications
- Monotonicity properties and the deficit at ruin in the Sparre Andersen model
- On the distribution of the duration of negative surplus
- On the Distribution of the Surplus Prior and at Ruin
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