Ruin probability for renewal risk models with neutral net profit condition

MaRDI QIDQ6182099zbMATH OpenFDO

Authors Andrius Grigutis, Arvydas Karbonskis, Jonas Šiaulys

Publication date 20 December 2023

Full work available at URL https://arxiv.org/abs/2306.01502, https://www.journals.vu.lt/nonlinear-analysis/article/view/33507

zbMATH Keywords

classical risk modeldiscrete-time risk modelnet profit conditionrandom walkruin probabilitySparre Andersen risk model

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Risk models (general) (91B05)

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Cites work

• A Combinatorial Lemma and Its Application to Probability Theory
• A note on the net profit condition for discrete and classical risk models
• Calculation of the probability of eventual ruin by Beekman's convolution series
• Compound Poisson approximations to sums of extrema of Bernoulli variables
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Finite-horizon ruin probability asymptotics in the compound discrete-time risk model
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• On \(2\times 2\) determinants originating from survival probabilities in homogeneous discrete time risk model
• On some approximations for sums of independent random variables
• Proofs from THE BOOK
• Uniform estimates for the finite-time ruin probability in the dependent renewal risk model

Cited in

(5)

• Determining exact survival probability by setting discrete random variables in E. Sparre Andersen's model
• General bounds for the deficit distribution at ruin in the sparre Andersen model
• The limit law of maximum of discrete partial-sums distribution
• General bounds for infinite-horizon insolvency risk measures in the Sparre Andersen model
• A note on the net profit condition for discrete and classical risk models

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