Tail bounds for the distribution of the deficit in the renewal risk model

Georgios Psarrakos

Insurance: Mathematics and Economics, 2008, vol. 43, issue 2, 197-202

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 [Lambda]u 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 and an asymptotic result when the adjustment coefficient exists.

Keywords: Probability; of; ruin; Deficit; at; ruin; Renewal; equation; Failure; rate; DFR; IFR; Adjustment; coefficient; Lundberg; condition; Stop-loss; premium (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:43:y:2008:i:2:p:197-202

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