Two-sided bounds of ruin probabilities
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Publication:4881683
DOI10.1080/03461238.1996.10413959zbMath0845.62075MaRDI QIDQ4881683
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
numerical examples; random walk; renewal process; geometric distribution; geometric sums; two-sided bounds of ruin probabilities
62P05: Applications of statistics to actuarial sciences and financial mathematics
60G50: Sums of independent random variables; random walks
60K10: Applications of renewal theory (reliability, demand theory, etc.)
Related Items
SIMPLE CONTINUITY INEQUALITIES FOR RUIN PROBABILITY IN THE CLASSICAL RISK MODEL, Unnamed Item, Bounds for Ruin Probabilities in the Presence of Large Claims and their Comparison, Functional sensitivity analysis of ruin probability in the classical risk models, Comparison of ruin probability estimates in the presence of heavy tails, Investigation of almost deterministic queueing systems, Obituary: Vladimir Kalashnikov (May 12, 1942--March 20, 2001), Power tailed ruin probabilities in the presence of risky investments., Estimates of stability of geometric convolutions, Approximations for moments of deficit at ruin with exponential and subexponential claims., A wide class of heavy-tailed distributions and its applications, Moment and polynomial bounds for ruin-related quantities in risk theory, Bounds of ruin probabilities
Cites Work
- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- Die bedeutung von KINGMANS integralungleichnngen bei der approximation der statlonären wartezeitverteilung im modell gi/g/1 mit und ohne verzögerung beim beginn einer beschäftigungsperiode
- The use of Spitzer's identity in the investigation of the busy period and other quantities in the queue GI/G/1
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