On the Integrated Tail of the Deficit in the Renewal Risk Model

被引：3

作者：

Psarrakos, Georgios ^{[1
]}

机构：

[1] Univ Piraeus, Dept Stat & Insurance Sci, Piraeus, Greece

来源：

METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY | 2015年 / 17卷 / 02期

关键词：

Compound geometric distribution; Defective renewal equation; NWU (NBU); NWUC (NBUC); NWUE (NBUE); Ladder height; Ruin probability; Stop loss premium; Deficit at ruin; COMPOUND GEOMETRIC DISTRIBUTIONS; RUIN PROBABILITIES; BOUNDS; CONVOLUTIONS; ASYMPTOTICS; CLOSURE; MOMENTS; TIME;

D O I：

10.1007/s11009-013-9381-4

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Let G(x, y) be the distribution of the deficit at the time of ruin in the renewal risk model. In this paper, we derive a geometric convolution representation for a function related to the integrated tail of the deficit. This integrated tail is a generalization of the stop loss-premium of the ruin probability, and the proposed convolution is a generalization of the equilibrium distribution of a compound geometric distribution (probability of non-ruin).

引用

页码：497 / 513

页数：17

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