An effective method for constructing bounds for ruin probabilities for the surplus process perturbed by diffusion

DOI10.1080/03461230903112190zbMath1226.91030OpenAlexW2162570338MaRDI QIDQ3103205

Cary Chi-Liang Tsai, Yi Lu

Publication date: 26 November 2011

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

Full work available at URL: https://doi.org/10.1080/03461230903112190

zbMATH Keywords

orderingdiffusion processboundruin probabilitysurplus processcompound geometric distributionmaximal aggregate loss

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (1)

A note on ruin problems in perturbed classical risk models

Cites Work

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• On the stop-loss transform and order for the surplus process perturbed by diffusion
• On the ordering of ruin probabilities for the surplus process perturbed by diffusion
• Some comparability results for waiting times in single- and many-server queues
• Ordering of risks and ruin probabilities

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