Two-Sided Bounds for Ruin Probabilities when the Adjustment Coefficient does not Exist

DOI10.1080/03461230050131894zbMath0922.62108OpenAlexW2055829188MaRDI QIDQ4258734

No author found.

Publication date: 14 September 1999

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

Full work available at URL: https://doi.org/10.1080/03461230050131894

zbMATH Keywords

heavy-tailed distributionscompound geometric distributionsadjustment coefficientsrenewal equationsruin probabilitiescompound Poisson modelstruncated Cramer-Lundberg condition

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20) Probabilistic methods, stochastic differential equations (65C99)

Related Items (14)

ApproximatingM/G/1 Waiting Time Tail Probabilities ⋮ Error bounds for exponential approximation of large-system reliability ⋮ Approximation of ruin probabilities via Erlangized scale mixtures ⋮ 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 Tails of Compound Negative Binomial Distributions in the Exponential and Heavy-Tailed Cases ⋮ Bounds for the probability and severity of ruin in the Sparre Andersen model ⋮ Non-exponential bounds for stop-loss premiums and ruin probabilities ⋮ Refinements of two-sided bounds for renewal equations ⋮ Some estimates of geometric sums ⋮ 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 ⋮ Refinements of bounds for tails of compound distributions and ruin probabilities ⋮ Sharp approximations of ruin probabilities in the discrete time models

Cites Work

• Unnamed Item
• Unnamed Item
• Bounds for classical ruin probabilities
• Error bounds for exponential approximations of geometric convolutions
• Estimates for the probability of ruin with special emphasis on the possibility of large claims
• Aspects of risk theory
• Refinements and distributional generalizations of Lundberg's inequality
• Some improvements on the Lundberg bound for the ruin probability
• On the relationship between bounds on the tails of compound distributions
• Asymptotic methods in reliability theory: a review
• Bounds on the delay distribution in GI/G/1 queues
• Lundberg bounds on the tails of compound distributions
• Simplified bounds on the tails of compound distributions
• Bounds and Asymptotics for Planning Critical Safety Stocks
• Tail of compound distributions and excess time
• Ordering of risks and ruin probabilities

This page was built for publication: Two-Sided Bounds for Ruin Probabilities when the Adjustment Coefficient does not Exist