Improved bounds on tails of convolutions of compound distributions: application to ruin probabilities for the risk process perturbed by diffusion
type: Item
instance of: scholarly article
title: Improved bounds on tails of convolutions of compound distributions: application to ruin probabilities for the risk process perturbed by diffusion
author: Stathis Chadjiconstantinidis
author: Panos Xenos
published in: Journal of Computational and Applied Mathematics
publication date: 2024-06-17T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 60K25
zbMATH DE Number: 7866537
zbMATH Keywords: compound distribution
zbMATH Keywords: convolution of compound distribution
zbMATH Keywords: compound geometric distribution
zbMATH Keywords: truncated Cramér-Lundberg condition
zbMATH Keywords: heavy-tailed distribution
zbMATH Keywords: ruin probability
zbMATH Keywords: Wiener process
MaRDI profile type: Publication
cites work: Applied Probability and Queues
cites work: Aging properties and bounds for ruin probabilities and stop-loss premiums
cites work: Two-Sided Bounds for Ruin Probabilities when the Adjustment Coefficient does not Exist
cites work: A unified approach to the study of tail probabilities of compound distributions
cites work: Two-Sided Bounds for Tails of Compound Negative Binomial Distributions in the Exponential and Heavy-Tailed Cases
cites work: Q5308560
cites work: Non-exponential bounds for stop-loss premiums and ruin probabilities
cites work: On regenerative processes in queueing theory
cites work: Bounds for classical ruin probabilities
cites work: An upper bound for the probability of ultimate ruin
cites work: Risk theory for the compound Poisson process that is perturbed by diffusion
cites work: An Introduction to Heavy-Tailed and Subexponential Distributions
cites work: Exponential inequalities for ruin probabilities of risk processes perturbed by diffusion
cites work: Q5637709
cites work: On the discounted penalty at ruin in a jump-diffusion and the perpetual put option
cites work: Q4888909
cites work: Q5470686
cites work: Comparison methods for stochastic models and risks
cites work: Generalizations of the Pollaczek-Khinchin integral equation in the theory of queues
cites work: Q4301147
cites work: DFR property of first-passage times and its preservation under geometric compounding
cites work: Ruin estimates under interest force
cites work: On the concavity of the waiting-time distribution in some GI/G/1 queues
cites work: Stochastic ordering and dependence in applied probability
cites work: On the discounted distribution functions of the surplus process perturbed by diffusion.
cites work: A generalized defective renewal equation for the surplus process perturbed by diffusion.
cites work: An effective method for constructing bounds for ruin probabilities for the surplus process perturbed by diffusion
cites work: Q3327483
cites work: Asymptotic estimates for the probability of ruin in a Poisson model with diffusion
cites work: A decomposition of the ruin probability for the risk process perturbed by diffusion
cites work: On higher-order properties of compound geometric distributions
cites work: Lundberg bounds on the tails of compound distributions
cites work: Bounds on the tails of convolutions of compound distributions
cites work: Lundberg approximations for compound distributions with insurance applications
cites work: Lundberg inequalities for renewal equations
DOI: 10.1016/J.CAM.2024.115835
description: scientific article; zbMATH DE number 7866537