Relations between integrated tails and moments based on the deficit at ruin in the renewal risk model

DOI10.1080/03610926.2021.1875244MaRDI QIDQ5039802zbMATH OpenOpenAlexFDO

Authors Georgios Psarrakos

Publication date 4 October 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2021.1875244

zbMATH Keywords

aging propertiesdeficit at ruinequilibrium distributionladder heightsrenewal risk modelruin probability

Mathematics Subject Classification ID

Renewal theory (60K05)

Cites work

• A solution to the ruin problem for Pareto distributions.
• An algebraic operator approach to the analysis of Gerber-Shiu functions
• Compound geometric residual lifetime distributions and the deficit at ruin.
• Cramér-Lundberg results for the infinite time ruin probability in the compound binomial model
• Densities of ruin-related quantities in the Cramér-Lundberg model with Pareto claims
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• Equilibrium distributions of discrete phase type
• Exponential and scale mixtures and equilibrium distributions
• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• Lundberg approximations for compound distributions with insurance applications
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• On a Class of Renewal Risk Processes
• On higher-order properties of compound geometric distributions
• On ruin probability and aggregate claim representations for Pareto claim size distributions
• On the \(n\)th stop-loss transform order of ruin probability.
• On the discounted penalty function in the renewal risk model with general interclaim times
• On the integrated tail of the deficit in the renewal risk model
• On the Laplace transform of the Pareto distribution
• On the Time Value of Ruin
• Relations for reliability measures of weighted distributions
• Ruin probabilities for Erlang (2) risk processes
• Ruin Problems for Phase-Type(2) Risk Processes
• The distribution of compound sums of Pareto distributed losses
• The Distribution of Sums of Certain I.I.D. Pareto Variates
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• The Time Value of Ruin in a Sparre Andersen Model

Cited in

(3)

• Lamb waves in functionally graded magnetoelectric microplates with different boundary conditions
• Some stochastic orders and reliability properties for compound geometric distributions, their convolutions, and other ruin-related quantities
• On defective renewal equations and compound geometric distributions, with applications in ruin theory

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