Two-sided bounds for renewal equations and ruin quantities

DOI10.1007/S11009-024-10075-0MaRDI QIDQ6549585zbMATH OpenFDO

Authors Stathis Chadjiconsatntinidis

Publication date 4 June 2024

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S11009-024-10075-0

zbMATH Keywords

compound geometric distributionsreliability classesrenewal equations

Mathematics Subject Classification ID

Renewal theory (60K05)

Recommendations

• Refinements of two-sided bounds for renewal equations
• Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model
• Tail bounds for the distribution of the deficit in the renewal risk model
• Sequences of improved two-sided bounds for the renewal function and the solutions of renewal-type equations
• Lundberg inequalities for renewal equations

Cites work

• A unified approach to the study of tail probabilities of compound distributions
• Aging properties and bounds for ruin probabilities and stop-loss premiums
• An upper bound for the probability of ultimate ruin
• Analysis of a defective renewal equation arising in ruin theory
• Aspects of risk theory
• Bounds for classical ruin probabilities
• Bounds for compound distributions based on mean residual lifetimes and equilibrium distributions
• Bounds for the probability and severity of ruin in the Sparre Andersen model
• Bounds for the renewal function
• Bounds on compound distributions and stop-loss premiums
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• scientific article; zbMATH DE number 805121 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• Linear Bounds on the Renewal Function
• Lundberg inequalities for renewal equations
• Non-exponential bounds for stop-loss premiums and ruin probabilities
• Nonexponential asymptotics for the solutions of renewal equations, with applications
• On higher-order properties of compound geometric distributions
• On the discounted penalty function in the renewal risk model with general interclaim times
• On the Distribution of the Surplus Prior and at Ruin
• On the distribution of the surplus prior to ruin
• Ordering of risks and ruin probabilities
• Preservation of certain classes of life distributions under Poisson shock models
• Refinements and distributional generalizations of Lundberg's inequality
• Refinements of bounds for tails of compound distributions and ruin probabilities
• Refinements of two-sided bounds for renewal equations
• Ruin probabilities
• Some improvements on the Lundberg bound for the ruin probability
• Surplus analysis of Sparre Andersen insurance risk processes
• Tail bounds for the distribution of the deficit in the renewal risk model
• Tail bounds for the joint distribution of the surplus prior to and at ruin
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• Two approximations of renewal function for any arbitrary lifetime distribution
• Two-Sided Bounds for Ruin Probabilities when the Adjustment Coefficient does not Exist
• Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model

Cited in

(1)

• Exponential and Pareto-type bounds for the renewal function and the excess lifetime of a renewal process

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