Bounds for classical ruin probabilities
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Publication:799061
DOI10.1016/0167-6687(84)90050-7zbMATH Open0547.62068OpenAlexW1972738543MaRDI QIDQ799061FDOQ799061
Authors: Floriaen E. C. De Vylder, Marc J. Goovaerts 
Publication date: 1984
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-6687(84)90050-7
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Cites Work
- Subexponentiality and infinite divisibility
- Title not available (Why is that?)
- The class of subexponential distributions
- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- Title not available (Why is that?)
- Asymptotic behaviour of Wiener-Hopf factors of a random walk
- Use of differential and integral inequalities to bound ruin and queuing probabilities
Cited In (34)
- Improved bounds on tails of convolutions of compound distributions: application to ruin probabilities for the risk process perturbed by diffusion
- Approximation der Ruinwahrscheinlichkeit bei diskreter Zeit mittels eines Resultats von A. Wald
- Tail bounds for the distribution of the deficit in the renewal risk model
- Bounding the ruin probability: a Martingale and a non-Martingale approach
- Ruin probabilities. Smoothness, bounds, supermartingale approach
- Two-Sided Bounds for Ruin Probabilities when the Adjustment Coefficient does not Exist
- Non-exponential bounds for stop-loss premiums and ruin probabilities
- Ruin estimates for large claims
- Entropy, a useful concept in risk theory
- Insurer's ruin with criteria of reliability
- Modeling large claims in non-life insurance
- Explicit analytic ruin probabilities for bounded claims
- Some results on the joint distribution prior to and at the time of ruin in the classical model
- Exact solutions for ruin probability in the presence of an absorbing upper barrier
- A Generalization of the Lundberg Condition in the Sparre Andersen Model and Some Applications
- Bounds for the probability and severity of ruin in the Sparre Andersen model
- Title not available (Why is that?)
- Upper bounds on ruin probabilities in case of negative loadings and positive interest rates
- Some approximations of ultimate ruin probability for finite initial surplus
- Nonparametric statistical analysis of an upper bound of the ruin probability under large claims
- Ordering of risks and ruin probabilities
- Refinements of bounds for tails of compound distributions and ruin probabilities
- Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model
- Rate of convergence of the probability of ruin in the Cramér-Lundberg model to its diffusion approximation
- On the numerical evaluation of the ultimate ruin probability
- Some results of ruin probability for the classical risk process
- Bounds for Ruin Probabilities in the Presence of Large Claims and their Comparison
- Tail bounds for the joint distribution of the surplus prior to and at ruin
- Aging properties and bounds for ruin probabilities and stop-loss premiums
- Two-sided bounds for renewal equations and ruin quantities
- On the integrated tail of the deficit in the renewal risk model
- Upper bounds on the expected time to ruin and on the expected recovery time
- An upper bound for the probability of ultimate ruin
- Bounds for the probability and severity of ruin in the Sparre Andersen model
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