On higher-order properties of compound geometric distributions

DOI10.1239/jap/1025131429zbMath1013.62008OpenAlexW2035250568MaRDI QIDQ3153657

Gordon E. Willmot

Publication date: 29 April 2003

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1025131429

zbMATH Keywords

Laplace-Stieltjes transformIFRDFRNBUNWUstop-loss premiumequilibrium distributionsresidual lifetime distributionstime of ruinDMRLIMRLNBUEdefective renewal equationcompound geometric distributionmean residual lifetimeNWUCNBUCLundberg boundNWUEintegrated tails2-NBU2-NWUstop-loss moments

Mathematics Subject Classification ID

Related Items (14)

Relations between integrated tails and moments based on the deficit at ruin in the renewal risk model ⋮ The moments of the time to ruin in dependent Sparre Andersen models with Coxian claim sizes ⋮ Applications of the classical compound Poisson model with claim sizes following a compound distribution ⋮ Differential calculus for linear operators represented by finite signed measures and applications ⋮ Symbolic calculation of the moments of the time of ruin. ⋮ On the Moments of the Time of Ruin with Applications to Phase-Type Claims ⋮ Monotonicity and aging properties of random sums ⋮ On applications of residual lifetimes of compound geometric convolutions ⋮ Some properties of ageing notions based on the moment-generating-function order ⋮ Discrete Lundberg-type bounds with actuarial applications ⋮ Equilibrium compound distributions and stop-loss moments ⋮ Non-exponential bounds for stop-loss premiums and ruin probabilities ⋮ On the integrated tail of the deficit in the renewal risk model ⋮ Refinements of bounds for tails of compound distributions and ruin probabilities

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