General bounds for the deficit distribution at ruin in the sparre Andersen model

DOI10.1007/S10986-024-09653-ZMaRDI QIDQ6660041FDOQ6660041

Authors: L. Gajek, Marcin Rudź 

Publication date: 10 January 2025

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

zbMATH Keywords

upper and lower boundsrisk operatordeficit distribution at ruinnew better/worse than used distributionsparre Andersen model

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Stochastic models in economics (91B70) Risk models (general) (91B05)

Cites Work

• Title not available (Why is that?)
• Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models
• Asymptotic behaviour of the finite-time ruin probability under subexponential claim sizes
• A note on the uniform asymptotic behavior of the finite-time ruin probability in a nonstandard renewal risk model
• Non-exponential bounds for stop-loss premiums and ruin probabilities
• On the deficit distribution when ruin occurs -- discrete time model
• Title not available (Why is that?)
• On the mathematical theory of risk.
• Optimal dividend strategies in a renewal risk model with phase-type distributed interclaim times
• Cramér-Lundberg model for some classes of extremal Markov sequences
• Ruin probabilities for a Sparre Andersen model with investments: the case of annuity payments
• Determining exact survival probability by setting discrete random variables in E. Sparre Andersen's model

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