Bounds for the probability and severity of ruin in the Sparre Andersen model

DOI10.1016/j.insmatheco.2004.11.001zbMath1117.91383OpenAlexW2024209673MaRDI QIDQ2485542

Konstadinos Politis

Publication date: 5 August 2005

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2004.11.001

zbMATH Keywords

Sparre Andersen modelRuin probabilitySeverity of ruin

Mathematics Subject Classification ID

Related Items (7)

Some new bounds for the mean value function of the residual lifetime process ⋮ An exponential martingale for compound Poisson process with latent variable and its applications ⋮ Modeling insurance claims via a mixture exponential model combined with peaks-over-threshold approach ⋮ Tail bounds for the joint distribution of the surplus prior to and at ruin ⋮ Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model ⋮ Refinements of bounds for tails of compound distributions and ruin probabilities ⋮ SOME NEW BOUNDS FOR THE RENEWAL FUNCTION

Cites Work

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• Bounds for classical ruin probabilities
• Error bounds for exponential approximations of geometric convolutions
• Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model
• Aging properties and bounds for ruin probabilities and stop-loss premiums
• Exact and approximate properties of the distribution of surplus before and after ruin
• Compound geometric residual lifetime distributions and the deficit at ruin.
• Lundberg approximations for compound distributions with insurance applications
• Two-Sided Bounds for Ruin Probabilities when the Adjustment Coefficient does not Exist
• On a Class of Renewal Risk Processes

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