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Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model

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  • Chadjiconstantinidis, Stathis
  • Politis, Konstadinos

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  • Chadjiconstantinidis, Stathis & Politis, Konstadinos, 2007. "Two-sided bounds for the distribution of the deficit at ruin in the renewal risk model," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 41-52, July.
    • Handle: RePEc:eee:insuma:v:41:y:2007:i:1:p:41-52
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    References listed on IDEAS

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    1. Willmot, Gordon E. & Sheldon Lin, X., 1998. "Exact and approximate properties of the distribution of surplus before and after ruin," Insurance: Mathematics and Economics, Elsevier, vol. 23(1), pages 91-110, October.
    2. De Vylder, F. & Goovaerts, M., 1984. "Bounds for classical ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 3(2), pages 121-131, April.
    3. repec:cup:astinb:v:17:y:1987:i:02:p:151-163_00 is not listed on IDEAS
    4. Willmot, Gordon E., 2002. "Compound geometric residual lifetime distributions and the deficit at ruin," Insurance: Mathematics and Economics, Elsevier, vol. 30(3), pages 421-438, June.
    5. Dickson, D. C. M., 2001. "Lundberg Approximations for Compound Distributions with Insurance Applications. By G. E. Willmot and X. S. Lin. (Springer, 2000)," British Actuarial Journal, Cambridge University Press, vol. 7(4), pages 690-691, October.
    6. Cai, Jun & Garrido, Jose, 1998. "Aging properties and bounds for ruin probabilities and stop-loss premiums," Insurance: Mathematics and Economics, Elsevier, vol. 23(1), pages 33-43, October.
    7. Politis, Konstadinos, 2005. "Bounds for the probability and severity of ruin in the Sparre Andersen model," Insurance: Mathematics and Economics, Elsevier, vol. 36(2), pages 165-177, April.
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    Cited by:

    1. Sotirios Losidis & Konstadinos Politis, 2022. "Bounds for the Renewal Function and Related Quantities," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 2647-2660, December.
    2. Basak Gever Ekinci & Zulfiye Hanalioglu & Tahir Khaniyev, 2025. "A Novel Approximation Method for Computing the Adjustment Coefficient of a Nonlinear Cramér-Lundberg Risk Model with Gamma Claims," Methodology and Computing in Applied Probability, Springer, vol. 27(3), pages 1-19, September.
    3. Woo, Jae-Kyung, 2011. "Refinements of two-sided bounds for renewal equations," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 189-196, March.
    4. Stathis Chadjiconsatntinidis, 2024. "Two-sided Bounds for Renewal Equations and Ruin Quantities," Methodology and Computing in Applied Probability, Springer, vol. 26(2), pages 1-54, June.
    5. Stathis Chadjiconstantinidis & Georgios Psarrakos, 2025. "On Defective Renewal Equations and Compound Geometric Distributions, with Applications in Ruin Theory," Methodology and Computing in Applied Probability, Springer, vol. 27(3), pages 1-30, September.
    6. Psarrakos, Georgios, 2008. "Tail bounds for the distribution of the deficit in the renewal risk model," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 197-202, October.
    7. Psarrakos, Georgios & Politis, Konstadinos, 2008. "Tail bounds for the joint distribution of the surplus prior to and at ruin," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 163-176, February.
    8. Psarrakos, Georgios, 2009. "A note on convolutions of compound geometric distributions," Statistics & Probability Letters, Elsevier, vol. 79(9), pages 1231-1237, May.
    9. Pekalp, Mustafa Hilmi, 2022. "Some new bounds for the mean value function of the residual lifetime process," Statistics & Probability Letters, Elsevier, vol. 187(C).
    10. Chadjiconstantinidis, Stathis & Xenos, Panos, 2022. "Refinements of bounds for tails of compound distributions and ruin probabilities," Applied Mathematics and Computation, Elsevier, vol. 421(C).

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