Two-sided bounds of ruin probabilities
DOI10.1080/03461238.1996.10413959zbMATH Open0845.62075OpenAlexW2020585108MaRDI QIDQ4881683FDOQ4881683
Authors: Vladimir Kalashnikov 
Publication date: 18 September 1996
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.1996.10413959
Recommendations
random walkrenewal processnumerical examplesgeometric distributiongeometric sumstwo-sided bounds of ruin probabilities
Applications of statistics to actuarial sciences and financial mathematics (62P05) Sums of independent random variables; random walks (60G50) Applications of renewal theory (reliability, demand theory, etc.) (60K10)
Cites Work
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- Estimates for the probability of ruin with special emphasis on the possibility of large claims
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- The use of Spitzer's identity in the investigation of the busy period and other quantities in the queue GI/G/1
- Die bedeutung von KINGMANS integralungleichnngen bei der approximation der statlonären wartezeitverteilung im modell gi/g/1 mit und ohne verzögerung beim beginn einer beschäftigungsperiode
Cited In (17)
- Obituary: Vladimir Kalashnikov (May 12, 1942--March 20, 2001)
- Functional sensitivity analysis of ruin probability in the classical risk models
- Approximations for moments of deficit at ruin with exponential and subexponential claims.
- Title not available (Why is that?)
- Bounds of ruin probabilities
- Comparison of ruin probability estimates in the presence of heavy tails
- Two-sided bounds of random sums with subexponential summands
- A wide class of heavy-tailed distributions and its applications
- Two-sided bounds for ruin probability under constant interest force
- Stability estimates of generalized geometric sums and their applications
- Power tailed ruin probabilities in the presence of risky investments.
- Moment and polynomial bounds for ruin-related quantities in risk theory
- Exponential and Pareto-type bounds for the renewal function and the excess lifetime of a renewal process
- Estimates of stability of geometric convolutions
- Bounds for Ruin Probabilities in the Presence of Large Claims and their Comparison
- SIMPLE CONTINUITY INEQUALITIES FOR RUIN PROBABILITY IN THE CLASSICAL RISK MODEL
- Investigation of almost deterministic queueing systems
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