A Lundberg-type inequality for an inhomogeneous renewal risk model

DOI10.15559/15-VMSTA30zbMATH Open1414.91157arXiv1508.02853MaRDI QIDQ340773FDOQ340773

Authors: Ieva Marija Andrulytė, Emilija Bernackaitė, Dominyka Kievinaitė, Jonas Šiaulys 

Publication date: 15 November 2016

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Abstract: We obtain a Lundberg-type inequality in the case of an inhomogeneous renewal risk model. We consider the model with independent, but not necessarily identically distributed, claim sizes and the interoccurrence times. In order to prove the main theorem, we first formulate and prove an auxiliary lemma on large values of a sum of random variables asymptotically drifted in the negative direction.

Full work available at URL: https://arxiv.org/abs/1508.02853

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zbMATH Keywords

ruin probabilityexponential boundinhomogeneous modelLundberg-type inequalityrenewal model

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

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Cited In (11)

• Title not available (Why is that?)
• Computable bounds of exponential moments of simultaneous hitting time for two time-inhomogeneous atomic Markov chains
• Exponential bounds for the tail probability of the supremum of an inhomogeneous random walk
• Lundberg-type inequalities for non-homogeneous risk models
• The risk model with stochastic premiums, dependence and a threshold dividend strategy
• Exponential bounds of ruin probabilities for non-homogeneous risk models
• Lundberg inequality for a sort of risk process
• The finite-time ruin probability for an inhomogeneous renewal risk model
• Exponential moments of simultaneous hitting time for non-atomic Markov chains
• Title not available (Why is that?)
• Finite-time Lundberg inequalities in the Cox case

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