Upper bounds on the expected time to ruin and on the expected recovery time
DOI10.1239/AAP/1086957577zbMATH Open1123.91335OpenAlexW1998420237MaRDI QIDQ4819487FDOQ4819487
Authors: Esther Frostig 
Publication date: 24 September 2004
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1239/aap/1086957577
Recommendations
- Bounds for classical ruin probabilities
- On the moments of ruin and recovery times
- Lundberg-type bounds and asymptotics for the moments of the time to ruin
- Ruin time and aggregate claim amount up to ruin time for the perturbed risk process
- The time to ruin and the number of claims until ruin for phase-type claims
phase-type distributionbusy periodrisk processtime to ruinduration of negative surplusidle periodM/G/1 queueing systemG/M/1 queueing systemLorden's inequalityPH/PH/1 queueing system
Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25)
Cites Work
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- Inequalities for the overshoot
- The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
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- On the moments of ruin and recovery times
- On the distribution of the duration of negative surplus
- Some results about the expected ruin time in Markov-modulated risk models
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- Foundations of queueing theory
Cited In (11)
- The time of ultimate recovery in Gaussian risk model
- The time to ruin and the number of claims until ruin for phase-type claims
- A Functional Approach for Ruin Probabilities
- Duality in ruin problems for ordered risk models
- Moments of the ruin time in a Lévy risk model
- Queues and risk models with simultaneous arrivals
- Symbolic calculation of the moments of the time of ruin.
- On Ruin Probability for a Risk Process Perturbed by a Lévy Process with no Negative Jumps
- Lundberg-type bounds and asymptotics for the moments of the time to ruin
- On the expected time to ruin and the expected dividends when dividends are paid while the surplus is above a constant barrier
- Parisian ruin in the dual model with applications to the \(G/M/1\) queue
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