The deficit at ruin in the stationary renewal risk model

DOI10.1080/03461230310016974zbMath1092.62115OpenAlexW2080591261MaRDI QIDQ5467660

Steve Drekic, Gordon E. Willmot, David A. Stanford, David C. M. Dickson

Publication date: 24 May 2006

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

Full work available at URL: https://doi.org/10.1080/03461230310016974

zbMATH Keywords

phase-type distributioncollective risk modelrenewal risk modeldefective renewal equationSparre Andersen risk modelladder heightcompound geometric convolutionmaximal aggregate loss

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (8)

On the analysis of ruin-related quantities in the delayed renewal risk model ⋮ Transform approach for discounted aggregate claims in a risk model with descendant claims ⋮ Potential measures and expected present value of operating costs until ruin in renewal risk models with general interclaim times ⋮ RATIO MONOTONICITY FOR TAIL PROBABILITIES IN THE RENEWAL RISK MODEL ⋮ On the discounted \(K\)th moment of the deficit at ruin in the delayed renewal risk model ⋮ A cyclic approach on classical ruin model ⋮ Phase-type Approximations to Finite-time Ruin Probabilities in the Sparre-Andersen and Stationary Renewal Risk Models ⋮ The proper distribution function of the deficit in the delayed renewal risk model

Cites Work

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• Compound geometric residual lifetime distributions and the deficit at ruin.
• Recursive calculation of the probability and severity of ruin
• Lundberg inequalities for renewal equations
• On the concavity of the waiting-time distribution in some GI/G/1 queues
• Introduction to Matrix Analytic Methods in Stochastic Modeling
• Preservation of certain classes of life distributions under Poisson shock models

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