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Aging properties and bounds for ruin probabilities and stop-loss premiums

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  • Cai, Jun
  • Garrido, Jose

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  • 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.
    • Handle: RePEc:eee:insuma:v:23:y:1998:i:1:p:33-43
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    References listed on IDEAS

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    1. Broeckx, F. & Goovaerts, M. & De Vylder, F., 1986. "Ordering of risks and ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 5(1), pages 35-39, January.
    2. Willmot, Gordon E., 1997. "On the relationship between bounds on the tails of compound distributions," Insurance: Mathematics and Economics, Elsevier, vol. 19(2), pages 95-103, April.
    3. De Vylder, F. & Goovaerts, M., 1984. "Bounds for classical ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 3(2), pages 121-131, April.
    4. Runnenburg, J. Th. & Goovaerts, M. J., 1985. "Bounds on compound distributions and stop-loss premiums," Insurance: Mathematics and Economics, Elsevier, vol. 4(4), pages 287-293, October.
    5. Sundt, Bjørn & Jan Dhaene,, 1996. "On Bounds for the Difference Between the Stop-Loss Transforms of Two Compound Distributions," ASTIN Bulletin, Cambridge University Press, vol. 26(2), pages 225-231, November.
    6. Cai, Jun & Wu, Yanhong, 1997. "Some improvements on the Lundberg bound for the ruin probability," Statistics & Probability Letters, Elsevier, vol. 33(4), pages 395-403, May.
    7. Steenackers, A. & Goovaerts, M. J., 1991. "Bounds on stop-loss premiums and ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 10(2), pages 153-159, July.
    8. Willmot, Gordon E., 1994. "Refinements and distributional generalizations of Lundberg's inequality," Insurance: Mathematics and Economics, Elsevier, vol. 15(1), pages 49-63, October.
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    Cited by:

    1. 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.
    2. Woo, Jae-Kyung, 2011. "Refinements of two-sided bounds for renewal equations," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 189-196, March.
    3. Georgios Psarrakos, 2015. "On the Integrated Tail of the Deficit in the Renewal Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 17(2), pages 497-513, June.
    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. 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.
    6. Stathis Chadjiconstantinidis, 2024. "Two-sided Bounds for some Quantities in the Delayed Renewal Process," Methodology and Computing in Applied Probability, Springer, vol. 26(3), pages 1-48, September.
    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. Chadjiconstantinidis, Stathis & Xenos, Panos, 2022. "Refinements of bounds for tails of compound distributions and ruin probabilities," Applied Mathematics and Computation, Elsevier, vol. 421(C).
    9. Hansjörg Albrecher & José Carlos Araujo-Acuna, 2022. "On The Randomized Schmitter Problem," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 515-535, June.
    10. 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.
    11. Chadjiconstantinidis, Stathis, 2023. "Some bounds for the renewal function and the variance of the renewal process," Applied Mathematics and Computation, Elsevier, vol. 436(C).

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