Non-exponential bounds for stop-loss premiums and ruin probabilities

DOI10.1080/03461230510009817zbMath1143.91026OpenAlexW2023392881MaRDI QIDQ5430553

Konstadinos Politis, Stathis Chadjiconstantinidis

Publication date: 16 December 2007

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

Full work available at URL: https://doi.org/10.1080/03461230510009817

zbMATH Keywords

ruin probabilityrenewal equationstop-loss premiumSparre Andersen modelaging propertiescompound geometric

Mathematics Subject Classification ID

Related Items

Some new bounds for the mean value function of the residual lifetime process ⋮ Moment and polynomial bounds for ruin-related quantities in risk theory ⋮ Bounds for the renewal function and related quantities ⋮ Refinement bounds for the expected number of renewal epochs over a finite interval ⋮ Tail bounds for the joint distribution of the surplus prior to and at ruin ⋮ Refinements of two-sided bounds for renewal equations ⋮ Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model ⋮ On the integrated tail of the deficit in the renewal risk model ⋮ A Generalization of the Lundberg Condition in the Sparre Andersen Model and Some Applications ⋮ Refinements of bounds for tails of compound distributions and ruin probabilities ⋮ SOME NEW BOUNDS FOR THE RENEWAL FUNCTION ⋮ Simple approximation for the ruin probability in renewal risk model under interest force via Laguerre series expansion

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Exponential approximations for two classes of aging distributions
• Bounds for classical ruin probabilities
• Error bounds for exponential approximations of geometric convolutions
• Tight bounds on the exponential approximation of some aging distributions
• Aging properties and bounds for ruin probabilities and stop-loss premiums
• Refinements and distributional generalizations of Lundberg's inequality
• On the relationship between bounds on the tails of compound distributions
• Compound geometric residual lifetime distributions and the deficit at ruin.
• Lundberg approximations for compound distributions with insurance applications
• Optimal reinsurance in relation to ordering of risks
• Lundberg inequalities for renewal equations
• On higher-order properties of compound geometric distributions
• Stopped Random Walks
• Two-Sided Bounds for Ruin Probabilities when the Adjustment Coefficient does not Exist
• An upper bound for the probability of ultimate ruin
• A unified approach to the study of tail probabilities of compound distributions