On the deficit distribution when ruin occurs -- discrete time model

DOI10.1016/j.insmatheco.2004.09.001zbMath1110.91018OpenAlexW2003158661MaRDI QIDQ2483944

Lestaw Gajek

Publication date: 1 August 2005

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.09.001

zbMATH Keywords

NWURuin probabilityAdjustment coefficientCramér-Lundberg inequality

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70)

Related Items

Deficit distributions at ruin in a regime-switching Sparre Andersen model ⋮ Banach contraction principle and ruin probabilities in regime-switching models ⋮ General methods for bounding multidimensional ruin probabilities in regime-switching models ⋮ Controlled risk processes in discrete time: lower and upper approximations to the optimal probability of ruin ⋮ A generalization of Gerber's inequality for ruin probabilities in risk-switching models ⋮ Finite-horizon ruin probabilities in a risk-switching Sparre Andersen model ⋮ Unnamed Item ⋮ Sharp approximations of ruin probabilities in the discrete time models

Cites Work

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• On the estimation of the adjustment coefficient in risk theory via intermediate order statistics
• Empirical bounds for ruin probabilities
• Empirical Laplace transform and approximation of compound distributions
• A note on positive supermartingales in ruin theory
• On the Distribution of the Surplus Prior and at Ruin