Discrete Lundberg-type bounds with actuarial applications
ESAIM: Probability and Statistics (2007)
- Volume: 11, page 217-235
- ISSN: 1292-8100
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topSendova, Kristina. "Discrete Lundberg-type bounds with actuarial applications." ESAIM: Probability and Statistics 11 (2007): 217-235. <http://eudml.org/doc/250085>.
@article{Sendova2007,
abstract = {
Different kinds of renewal equations repeatedly arise in connection
with renewal risk models and variations. It is often appropriate to
utilize bounds instead of the general solution to the renewal
equation due to the inherent complexity. For this reason, as a first
approach to construction of bounds we employ a general Lundberg-type
methodology. Second, we focus specifically on exponential bounds
which have the advantageous feature of being closely connected to
the asymptotic behavior (for large values of the argument) of the
renewal function. Finally, the last section of this paper includes
several applications to risk theory quantities.
},
author = {Sendova, Kristina},
journal = {ESAIM: Probability and Statistics},
keywords = {Deficit at ruin; discrete renewal equation; probability of
ultimate ruin; stop-loss premium; surplus immediately before ruin.; deficit at ruin; probability of ultimate ruin; surplus immediately before ruin},
language = {eng},
month = {6},
pages = {217-235},
publisher = {EDP Sciences},
title = {Discrete Lundberg-type bounds with actuarial applications},
url = {http://eudml.org/doc/250085},
volume = {11},
year = {2007},
}
TY - JOUR
AU - Sendova, Kristina
TI - Discrete Lundberg-type bounds with actuarial applications
JO - ESAIM: Probability and Statistics
DA - 2007/6//
PB - EDP Sciences
VL - 11
SP - 217
EP - 235
AB -
Different kinds of renewal equations repeatedly arise in connection
with renewal risk models and variations. It is often appropriate to
utilize bounds instead of the general solution to the renewal
equation due to the inherent complexity. For this reason, as a first
approach to construction of bounds we employ a general Lundberg-type
methodology. Second, we focus specifically on exponential bounds
which have the advantageous feature of being closely connected to
the asymptotic behavior (for large values of the argument) of the
renewal function. Finally, the last section of this paper includes
several applications to risk theory quantities.
LA - eng
KW - Deficit at ruin; discrete renewal equation; probability of
ultimate ruin; stop-loss premium; surplus immediately before ruin.; deficit at ruin; probability of ultimate ruin; surplus immediately before ruin
UR - http://eudml.org/doc/250085
ER -
References
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