Some results on the joint distribution prior to and at the time of ruin in the classical model

DOI10.1080/03461230903184504zbMath1226.91029OpenAlexW2036038930MaRDI QIDQ3103209

Georgios Psarrakos

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

zbMATH Keywords

ruin probabilityrenewal equationdeficit at ruinsurplus prior to ruinDFR classIMRL class2-NBU class2-NWU class

Mathematics Subject Classification ID

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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