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On the deficit distribution when ruin occurs--discrete time model

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  • Gajek, Leslaw

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  • Gajek, Leslaw, 2005. "On the deficit distribution when ruin occurs--discrete time model," Insurance: Mathematics and Economics, Elsevier, vol. 36(1), pages 13-24, February.
    • Handle: RePEc:eee:insuma:v:36:y:2005:i:1:p:13-24
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    References listed on IDEAS

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    1. Grandell, Jan, 1979. "Empirical bounds for ruin probabilities," Stochastic Processes and their Applications, Elsevier, vol. 8(3), pages 243-255, May.
    2. Schmidli, Hanspeter, 1999. "On the Distribution of the Surplus Prior and at Ruin," ASTIN Bulletin, Cambridge University Press, vol. 29(2), pages 227-244, November.
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    Cited by:

    1. Diasparra, Maikol & Romera, Rosario, 2006. "Optimal policies for discrete time risk processes with a Markov chain investment model," DES - Working Papers. Statistics and Econometrics. WS ws062408, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. Groniowska, Agnieszka & Niemiro, Wojciech, 2005. "Controlled risk processes in discrete time: Lower and upper approximations to the optimal probability of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 36(3), pages 433-440, June.
    3. Lesław Gajek & Marcin Rudź, 2020. "Finite-Horizon Ruin Probabilities in a Risk-Switching Sparre Andersen Model," Methodology and Computing in Applied Probability, Springer, vol. 22(4), pages 1493-1506, December.
    4. Lesław Gajek & Marcin Rudź, 2018. "Risk-switching insolvency models," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 51, pages 129-146.
    5. Gajek, Lesław & Rudź, Marcin, 2017. "A generalization of Gerber’s inequality for ruin probabilities in risk-switching models," Statistics & Probability Letters, Elsevier, vol. 129(C), pages 236-240.
    6. Gajek, Lesław & Rudź, Marcin, 2018. "Banach Contraction Principle and ruin probabilities in regime-switching models," Insurance: Mathematics and Economics, Elsevier, vol. 80(C), pages 45-53.

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