Refinements of two-sided bounds for renewal equations

Jae-Kyung Woo

Insurance: Mathematics and Economics, 2011, vol. 48, issue 2, 189-196

Abstract: Many quantities of interest in the study of renewal processes may be expressed as the solution to a special type of integral equation known as a renewal equation. The main purpose of this paper is to provide bounds for the solution of renewal equations based on various reliability classifications. Exponential and nonexponential types of inequalities are derived. In particular, two-sided bounds with specific reliability conditions become sharp. Finally, some examples including ultimate ruin for the classical Poisson model with time-dependent claim sizes, the joint distribution of the surplus prior to and at ruin, and the excess life time, are provided.

Keywords: (Defective) Renewal equation Reliability classification (DFR; NWU; NWUC; NWUE) Adjustment coefficient Nonexponential bound (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:48:y:2011:i:2:p:189-196

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