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

zbMATH Keywords

random walkrenewal processnumerical examplesgeometric distributiongeometric sumstwo-sided bounds of ruin probabilities

Mathematics Subject Classification ID

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)

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Cites work

• scientific article; zbMATH DE number 3709377 (Why is no real title available?)
• scientific article; zbMATH DE number 3500818 (Why is no real title available?)
• scientific article; zbMATH DE number 782700 (Why is no real title available?)
• scientific article; zbMATH DE number 919127 (Why is no real title available?)
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• Die bedeutung von KINGMANS integralungleichnngen bei der approximation der statlonären wartezeitverteilung im modell gi/g/1 mit und ohne verzögerung beim beginn einer beschäftigungsperiode
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• The use of Spitzer's identity in the investigation of the busy period and other quantities in the queue GI/G/1

Cited in

(17)

• Two-sided bounds of random sums with subexponential summands
• Power tailed ruin probabilities in the presence of risky investments.
• A wide class of heavy-tailed distributions and its applications
• Investigation of almost deterministic queueing systems
• Bounds for Ruin Probabilities in the Presence of Large Claims and their Comparison
• Exponential and Pareto-type bounds for the renewal function and the excess lifetime of a renewal process
• Approximations for moments of deficit at ruin with exponential and subexponential claims.
• Stability estimates of generalized geometric sums and their applications
• scientific article; zbMATH DE number 1865406 (Why is no real title available?)
• Bounds of ruin probabilities
• Comparison of ruin probability estimates in the presence of heavy tails
• Obituary: Vladimir Kalashnikov (May 12, 1942--March 20, 2001)
• Simple continuity inequalities for ruin probability in the classical risk model
• Estimates of stability of geometric convolutions
• Moment and polynomial bounds for ruin-related quantities in risk theory
• Functional sensitivity analysis of ruin probability in the classical risk models
• Two-sided bounds for ruin probability under constant interest force

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