Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5077434 | Insurance: Mathematics and Economics | 2008 | 6 Pages |
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 Îu 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 â«yâÎu(z)dz and an asymptotic result when the adjustment coefficient exists.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Georgios Psarrakos,