Bounds for classical ruin probabilities

DOI10.1016/0167-6687(84)90050-7zbMath0547.62068OpenAlexW1972738543MaRDI QIDQ799061

F. Etienne 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

zbMATH Keywords

convolutionboundsrenewal equationcollective risk theoryPoisson claim number processruin probability over infinite timesub- exponential distributions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (19)

Two-Sided Bounds for Ruin Probabilities when the Adjustment Coefficient does not Exist ⋮ Ruin estimates for large claims ⋮ Some approximations of ultimate ruin probability for finite initial surplus ⋮ Nonparametric statistical analysis of an upper bound of the ruin probability under large claims ⋮ Tail bounds for the joint distribution of the surplus prior to and at ruin ⋮ Ordering of risks and ruin probabilities ⋮ Modeling large claims in non-life insurance ⋮ Bounds for the probability and severity of ruin in the Sparre Andersen model ⋮ 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 ⋮ Non-exponential bounds for stop-loss premiums and ruin probabilities ⋮ Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model ⋮ On the integrated tail of the deficit in the renewal risk model ⋮ A Generalization of the Lundberg Condition in the Sparre Andersen Model and Some Applications ⋮ Aging properties and bounds for ruin probabilities and stop-loss premiums ⋮ Some results on the joint distribution prior to and at the time of ruin in the classical model ⋮ On the numerical evaluation of the ultimate ruin probability ⋮ Refinements of bounds for tails of compound distributions and ruin probabilities ⋮ Rate of convergence of the probability of ruin in the Cramér-Lundberg model to its diffusion approximation

Cites Work

• Unnamed Item
• Unnamed Item
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Asymptotic behaviour of Wiener-Hopf factors of a random walk
• The class of subexponential distributions
• Use of differential and integral inequalities to bound ruin and queuing probabilities
• Subexponentiality and infinite divisibility

This page was built for publication: Bounds for classical ruin probabilities