Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model

DOI10.1016/J.INSMATHECO.2006.09.001zbMath1119.91050OpenAlexW2010020536MaRDI QIDQ997081

Stathis Chadjiconstantinidis, Konstadinos Politis

Publication date: 19 July 2007

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.09.001

zbMATH Keywords

ruin probabilityrenewal equationseverity of ruinrenewal risk model

Mathematics Subject Classification ID

Related Items (12)

Some new bounds for the mean value function of the residual lifetime process ⋮ 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 ⋮ Exponential approximation to Weibull renewal with decreasing failure rate ⋮ Bounds for the probability and severity of ruin in the Sparre Andersen model ⋮ Tail bounds for the distribution of the deficit in the renewal risk model ⋮ Refinements of two-sided bounds for renewal equations ⋮ Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model ⋮ A Generalization of the Lundberg Condition in the Sparre Andersen Model and Some Applications ⋮ A note on convolutions of compound geometric distributions ⋮ Refinements of bounds for tails of compound distributions and ruin probabilities

Cites Work

• Bounds for classical ruin probabilities
• Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model
• Aspects of risk theory
• Aging properties and bounds for ruin probabilities and stop-loss premiums
• Exact and approximate properties of the distribution of surplus before and after ruin
• Compound geometric residual lifetime distributions and the deficit at ruin.
• Lundberg approximations for compound distributions with insurance applications
• Bounds for the probability and severity of ruin in the Sparre Andersen model
• Lundberg inequalities for renewal equations
• ApproximatingM/G/1 Waiting Time Tail Probabilities
• 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
• An upper bound for the probability of ultimate ruin
• Second Order Behaviour of Ruin Probabilities
• A unified approach to the study of tail probabilities of compound distributions
• Non-exponential bounds for stop-loss premiums and ruin probabilities
• On the Distribution of the Deficit at Ruin when Claims are Phase-type

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