Lundberg-type bounds and asymptotics for the moments of the time to ruin

DOI10.1007/s11009-008-9102-6zbMath1185.91093OpenAlexW2035663638MaRDI QIDQ2270189

Vaios Dermitzakis, Konstadinos Politis, Susan M. Pitts

Publication date: 15 March 2010

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-008-9102-6

zbMATH Keywords

ruin probabilitytime to ruinruin modelLundberg-type bounds

Mathematics Subject Classification ID

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

Related Items (2)

Asymptotics for the moments of the time to ruin for the compound Poisson model perturbed by diffusion ⋮ On the integrated tail of the deficit in the renewal risk model

Cites Work

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• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• On convolution tails
• Subexponential distributions and characterizations of related classes
• Simple approximations of ruin probabilities
• The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
• The rate of convergence for subexponential distributions and densities
• Lundberg inequalities for renewal equations
• Subexponential distributions and integrated tails
• Upper bounds on the expected time to ruin and on the expected recovery time

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