Tail bounds for the joint distribution of the surplus prior to and at ruin

DOI10.1016/j.insmatheco.2007.01.004zbMath1141.91544OpenAlexW1970140194MaRDI QIDQ939345

Georgios Psarrakos, Konstadinos Politis

Publication date: 22 August 2008

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2007.01.004

zbMATH Keywords

ruin probabilityrenewal equationdeficit at ruinsurplus prior to ruin

Mathematics Subject Classification ID

Related Items (5)

On asymptotic equivalence among the solutions of some defective renewal equations ⋮ Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence ⋮ Refinements of two-sided bounds for renewal equations ⋮ Asymptotic results for heavy-tailed distributions using defective renewal equations ⋮ Some results on the joint distribution prior to and at the time of ruin in the classical model

Cites Work

• Unnamed Item
• Unnamed Item
• Bounds for classical ruin probabilities
• Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model
• On the numerical evaluation of the distribution of aggregate claims and its stop-loss premiums
• On the distribution of the surplus prior to ruin
• Aging properties and bounds for ruin probabilities and stop-loss premiums
• The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin
• Compound geometric residual lifetime distributions and the deficit at ruin.
• Bounds for the probability and severity of ruin in the Sparre Andersen model
• Lundberg inequalities for renewal equations
• On the concavity of the waiting-time distribution in some GI/G/1 queues
• Two-Sided Bounds for Ruin Probabilities when the Adjustment Coefficient does not Exist
• Simplified bounds on the tails of compound distributions
• Non-exponential bounds for stop-loss premiums and ruin probabilities
• On the Distribution of the Surplus Prior and at Ruin
• Lundberg-type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin under a Markov-modulated Risk Model
• Lundberg-Type Bounds for the Joint Distribution of Surplus Immediately Before and at Ruin Under the Sparre Andersen Model
• On the Time Value of Ruin

This page was built for publication: Tail bounds for the joint distribution of the surplus prior to and at ruin