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

Vaios Dermitzakis, Susan M. Pitts () and Konstadinos Politis
Additional contact information
Vaios Dermitzakis: University of Piraeus
Susan M. Pitts: University of Cambridge
Konstadinos Politis: University of Piraeus

Methodology and Computing in Applied Probability, 2010, vol. 12, issue 1, 155-175

Abstract: Abstract We obtain analogues of Lundberg’s inequality and the Cramér—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.

Keywords: Lundberg bounds; Time to ruin; Moments of the time to ruin; Adjustment coefficient; Subexponential distributions; The class ${\mathcal S}(\gamma)$; Primary 60K10; 91B30; Secondary 60K05 (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://link.springer.com/10.1007/s11009-008-9102-6 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:metcap:v:12:y:2010:i:1:d:10.1007_s11009-008-9102-6

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/11009

DOI: 10.1007/s11009-008-9102-6

Access Statistics for this article

Methodology and Computing in Applied Probability is currently edited by Joseph Glaz

More articles in Methodology and Computing in Applied Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().