Lundberg-type Bounds and Asymptotics for the Moments of the Time to Ruin

被引：2

作者：

Dermitzakis, Vaios ^{[2
]}

Pitts, Susan M. ^{[1
]}

Politis, Konstadinos ^{[2
]}

机构：

[1] Univ Cambridge, Ctr Math Sci, Stat Lab, Cambridge CB3 0WB, England

[2] Univ Piraeus, Dept Stat & Insurance, Piraeus 18534, Greece

来源：

METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY | 2010年 / 12卷 / 01期

关键词：

Lundberg bounds; Time to ruin; Moments of the time to ruin; Adjustment coefficient; Subexponential distributions; The class S(gamma); SUBEXPONENTIAL DISTRIBUTIONS;

D O I：

10.1007/s11009-008-9102-6

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：

We obtain analogues of Lundberg's inequality and the Cram,r-Lundberg asymptotic relationship for the k-th moment of the time to ruin in the classical risk model. We also derive the asymptotic behaviour of the mean time to ruin when the claim size distribution has a heavy or intermediate tail.

引用

页码：155 / 175

页数：21

共 8 条

[1] Lundberg-type Bounds and Asymptotics for the Moments of the Time to Ruin
Vaios Dermitzakis
Susan M. Pitts
Konstadinos Politis
Methodology and Computing in Applied Probability, 2010, 12 : 155 - 175
[2] Asymptotics for the Moments of the Time to Ruin for the Compound Poisson Model Perturbed by Diffusion
Vaios Dermitzakis
Konstadinos Politis
Methodology and Computing in Applied Probability, 2011, 13 : 749 - 761
[3] Asymptotics for the Moments of the Time to Ruin for the Compound Poisson Model Perturbed by Diffusion
Dermitzakis, Vaios
Politis, Konstadinos
METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 2011, 13 (04) : 749 - 761
[4] Lundberg upper bounds for ultimate ruin probabilities with constant interest
Wu, Zhao
Cheng, Wang Ding
Yong, Zeng
Advances in Matrix Theory and Applications, 2006, : 331 - 334
[5] Upper bounds on the expected time to ruin and on the expected recovery time
Frostig, E
ADVANCES IN APPLIED PROBABILITY, 2004, 36 (02) : 377 - 397
[6] Approximations for the moments of ruin time in the compound Poisson model
Pitts, Susan M.
Politis, Konstadinos
INSURANCE MATHEMATICS & ECONOMICS, 2008, 42 (02) : 668 - 679
[7] The moments of the time to ruin in dependent Sparre Andersen models with Coxian claim sizes
Lee, Wing Yan
Willmot, Gordon E.
SCANDINAVIAN ACTUARIAL JOURNAL, 2016, (06) : 550 - 564
[8] On the moments of the time to ruin in dependent Sparre Andersen models with emphasis on Coxian interclaim times
Lee, Wing Yan
Willmot, Gordon E.
INSURANCE MATHEMATICS & ECONOMICS, 2014, 59 : 1 - 10

← 1 →