Tail bounds for the distribution of the deficit in the renewal risk model
DOI10.1016/J.INSMATHECO.2008.05.014zbMATH Open1189.91080OpenAlexW1996207632MaRDI QIDQ974800FDOQ974800
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
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)
Cites Work
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- The Time Value of Ruin in a Sparre Andersen Model
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- Compound geometric residual lifetime distributions and the deficit at ruin.
- Bounds for classical ruin probabilities
- A Generalization of the Lundberg Condition in the Sparre Andersen Model and Some Applications
- Error bounds for exponential approximations of geometric convolutions
- On the concavity of the waiting-time distribution in some GI/G/1 queues
- Aging properties and bounds for ruin probabilities and stop-loss premiums
- Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model
Cited In (10)
- Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence
- Title not available (Why is that?)
- Ratio monotonicity for tail probabilities in the renewal risk model
- Some results on the joint distribution prior to and at the time of ruin in the classical model
- ASYMPTOTIC DISTRIBUTION OF THE DISCOUNTED PROPER DEFICIT IN THE DISCRETE TIME DELAYED RENEWAL MODEL
- Exponential and Pareto-type bounds for the renewal function and the excess lifetime of a renewal process
- Title not available (Why is that?)
- Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model
- Exit times, overshoot and undershoot for a surplus process in the presence of an upper barrier
- Two-sided bounds for renewal equations and ruin quantities
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