Discrete Lundberg-type bounds with actuarial applications

DOI10.1051/ps:2007016zbMath1187.91107OpenAlexW2139024560MaRDI QIDQ5429600

Kristina P. Sendova

Publication date: 30 November 2007

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=PS_2007__11__217_0

zbMATH Keywords

stop-loss premiumdeficit at ruindiscrete renewal equationprobability of ultimate ruinsurplus immediately before ruin

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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• The discrete stationary renewal risk model and the Gerber-Shiu discounted penalty function
• The moments of ruin time in the classical risk model with discrete claim size distribution
• Aging and other distributional properties of discrete compound geometric distributions
• Compound geometric residual lifetime distributions and the deficit at ruin.
• The discrete-time risk model with correlated classes of business
• Bounds on gambler's ruin probabilities in terms of moments
• The preservation of classes of discrete distributions under convolution and mixing
• Lundberg inequalities for renewal equations
• On higher-order properties of compound geometric distributions
• On a class of discrete time renewal risk models
• Distributions of the surplus before ruin, the deficit at ruin and the claim causing ruin in a class of discrete time risk models
• The probability of ruin in finite time with discrete claim size distribution
• Equilibrium compound distributions and stop-loss moments
• On the Time Value of Ruin

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