Article ID Journal Published Year Pages File Type
5077434 Insurance: Mathematics and Economics 2008 6 Pages PDF
Abstract
We obtain upper and lower bounds for the tail of the deficit at ruin in the renewal risk model, which are (i) applicable generally; and (ii) based on reliability classifications. We also derive two-side bounds, in the general case where a function satisfies a defective renewal equation, and we apply them to the renewal model, using the function Λu introduced by [Psarrakos, G., Politis, K., 2007. A generalisation of the Lundberg condition in the Sparre Andersen model and some applications (submitted for publication)]. Finally, we construct an upper bound for the integrated function ∫y∞Λu(z)dz and an asymptotic result when the adjustment coefficient exists.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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