Tail bounds for the distribution of the deficit in the renewal risk model

DOI10.1016/J.INSMATHECO.2008.05.014MaRDI QIDQ974800zbMATH OpenOpenAlexFDO

Authors Georgios Psarrakos

Publication date 8 June 2010

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2008.05.014

zbMATH Keywords

failure ratedeficit at ruinrenewal equationDFRIFRadjustment coefficientprobability of ruinLundberg conditionstop-loss premium

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Recommendations

• 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
• The distribution of deficit at ruin on a renewal risk model
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• On the deficit distribution when ruin occurs -- discrete time model

Cites work

• scientific article; zbMATH DE number 4013703 (Why is no real title available?)
• scientific article; zbMATH DE number 4032883 (Why is no real title available?)
• scientific article; zbMATH DE number 3205524 (Why is no real title available?)
• scientific article; zbMATH DE number 3349081 (Why is no real title available?)
• 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
• Bounds for classical ruin probabilities
• Compound geometric residual lifetime distributions and the deficit at ruin.
• Error bounds for exponential approximations of geometric convolutions
• On the concavity of the waiting-time distribution in some GI/G/1 queues
• The Time Value of Ruin in a Sparre Andersen Model
• Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model

Cited in

(11)

• On the integrated tail of the deficit in the renewal risk model
• Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model
• Two-sided bounds for renewal equations and ruin quantities
• Exponential and Pareto-type bounds for the renewal function and the excess lifetime of a renewal process
• scientific article; zbMATH DE number 6101279 (Why is no real title available?)
• Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence
• scientific article; zbMATH DE number 2165829 (Why is no real title available?)
• Ratio monotonicity for tail probabilities in the renewal risk model
• ASYMPTOTIC DISTRIBUTION OF THE DISCOUNTED PROPER DEFICIT IN THE DISCRETE TIME DELAYED RENEWAL MODEL
• Some results on the joint distribution prior to and at the time of ruin in the classical model
• Exit times, overshoot and undershoot for a surplus process in the presence of an upper barrier

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