Monotonicity properties and the deficit at ruin in the Sparre Andersen model

DOI10.1080/03461230802022169zbMath1224.91082OpenAlexW2008076919MaRDI QIDQ3077729

Georgios Psarrakos, Konstadinos Politis

Publication date: 22 February 2011

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230802022169

zbMATH Keywords

renewal equationdeficit at ruinprobability of ruinIFR classDFR classIMRL classincreasing convolution ratio (ICR) class

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory of statistical distributions (62E10)

Related Items (5)

Complete discounted cash flow valuation ⋮ On asymptotic equivalence among the solutions of some defective renewal equations ⋮ RATIO MONOTONICITY FOR TAIL PROBABILITIES IN THE RENEWAL RISK MODEL ⋮ Monotonicity properties for solutions of renewal equations ⋮ Some results on the joint distribution prior to and at the time of ruin in the classical model

Cites Work

• Error bounds for exponential approximations of geometric convolutions
• 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.
• Lundberg approximations for compound distributions with insurance applications
• On the concavity of the waiting-time distribution in some GI/G/1 queues
• On the distribution of the duration of negative surplus
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