The deficit at ruin in the Sparre Andersen model with interest

DOI10.1007/BF02831960MaRDI QIDQ874329zbMATH OpenOpenAlexFDO

Authors Zhenhua Bao, Zhongxing Ye

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

Mathematics Subject Classification ID

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

Recommendations

• Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.
• The Sparre Andersen risk process with investment and debit interest
• Approximation for ruin probability in the Sparre Andersen model with interest
• On asymptotics of deficit distribution and its moments at the time of ruin
• Upper bounds for ultimate ruin probabilities in the Sparre Andersen risk model with interest and a nonlinear dividend barrier

Cites work

• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• A NOTE ON THE SEVERITY OF RUIN IN THE RENEWAL MODEL WITH CLAIMS OF DOMINATED VARIATION
• A unified approach to the study of tail probabilities of compound distributions
• Aspects of risk theory
• DISCRETE TIME RISK MODELS UNDER RATES OF INTEREST
• Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin Under the Sparre Andersen Model
• On a class of approximations for ruin and waiting time probabilities
• On the Distribution of the Deficit at Ruin when Claims are Phase-type
• On the Time Value of Ruin
• On the distribution of surplus immediately after ruin under interest force
• On the expected discounted penalty function at ruin of a surplus process with interest.
• Refinements and distributional generalizations of Lundberg's inequality
• Ruin estimates under interest force
• The adjustment function in ruin estimates under interest force
• The finite-time ruin probability of the compound Poisson model with constant interest force
• Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.

Cited in

(5)

• Approximation for ruin probability in the Sparre Andersen model with interest
• Monotonicity properties and the deficit at ruin in the Sparre Andersen model
• Surplus analysis of Sparre Andersen insurance risk processes
• Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.
• General bounds for the deficit distribution at ruin in the sparre Andersen model

This page was built for publication: The deficit at ruin in the Sparre Andersen model with interest

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q874329)