The deficit at ruin in the Sparre Andersen model with interest

DOI10.1007/BF02831960zbMATH Open1151.91056OpenAlexW2063887584MaRDI QIDQ874329FDOQ874329

Zhongxing Ye, Zhenhua Bao

Publication date: 5 April 2007

Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02831960

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Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

Cites Work

• Title not available (Why is that?)
• On the Time Value of Ruin
• Aspects of risk theory
• On the Distribution of the Deficit at Ruin when Claims are Phase-type
• The finite-time ruin probability of the compound Poisson model with constant interest force
• On the expected discounted penalty function at ruin of a surplus process with interest.
• Ruin estimates under interest force
• DISCRETE TIME RISK MODELS UNDER RATES OF INTEREST
• A NOTE ON THE SEVERITY OF RUIN IN THE RENEWAL MODEL WITH CLAIMS OF DOMINATED VARIATION
• Refinements and distributional generalizations of Lundberg's inequality
• Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin Under the Sparre Andersen Model
• The adjustment function in ruin estimates under interest force
• Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.
• On the distribution of surplus immediately after ruin under interest force
• On a class of approximations for ruin and waiting time probabilities
• A unified approach to the study of tail probabilities of compound distributions

Cited In (2)

• Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.
• Approximation for ruin probability in the Sparre Andersen model with interest

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