RATIO MONOTONICITY FOR TAIL PROBABILITIES IN THE RENEWAL RISK MODEL
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Publication:3000392
DOI10.1017/S0269964810000331zbMath1216.60056OpenAlexW2124042285MaRDI QIDQ3000392
Georgios Psarrakos, Michael J. Tsatsomeros
Publication date: 18 May 2011
Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0269964810000331
Inequalities; stochastic orderings (60E15) Applications of renewal theory (reliability, demand theory, etc.) (60K10)
Cites Work
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- The tail behaviour of a random sum of subexponential random variables and vectors
- Asymptotic results for heavy-tailed distributions using defective renewal equations
- Estimates for the probability of ruin with special emphasis on the possibility of large claims
- DFR property of first-passage times and its preservation under geometric compounding
- Exact and approximate properties of the distribution of surplus before and after ruin
- Compound geometric residual lifetime distributions and the deficit at ruin.
- Monotonicity properties and the deficit at ruin in the Sparre Andersen model
- Matrix Analysis
- Preservation of certain classes of life distributions under Poisson shock models
- On the distribution of the duration of negative surplus
- On the Distribution of the Deficit at Ruin when Claims are Phase-type
- The deficit at ruin in the stationary renewal risk model
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