Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin Under the Sparre Andersen Model

DOI10.1080/10920277.2005.10596203zbMath1085.60517OpenAlexW1991252452MaRDI QIDQ5716026

Hailiang Yang, Andrew Cheuk-Yin Ng

Publication date: 6 January 2006

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2005.10596203

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Renewal theory (60K05)

Related Items (10)

The deficit at ruin in the Sparre Andersen model with interest ⋮ Analysis of IBNR claims in renewal insurance models ⋮ The Gerber-Shiu discounted penalty function of sparre Andersen risk model with a constant dividend barrier ⋮ Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence ⋮ Tail bounds for the joint distribution of the surplus prior to and at ruin ⋮ Matrix-Form Recursions for a Family of Compound Distributions ⋮ On a discrete risk model with two-sided jumps ⋮ A connection between the discounted and non-discounted expected penalty functions in the Sparre Andersen risk model ⋮ “Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately before and at Ruin under the Sparre Andersen Model”, Andrew C. Y. Ng and Hailiang Yang, April 2005 ⋮ The Time of Recovery and the Maximum Severity of Ruin in a Sparre Andersen Model

Cites Work

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• The Time Value of Ruin in a Sparre Andersen Model
• The Joint Distribution of Surplus Immediately before Ruin and the Deficit at Ruin under Interest Force
• On the Time Value of Ruin

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