Compound geometric residual lifetime distributions and the deficit at ruin

Insurance: Mathematics and Economics

Volumn 30, Issue 3, 2002, Pages 421-438

  Willmot, Gordon E ^a  

^a UNIVERSITY OF WATERLOO   (Canada)

Author keywords

Defective renewal equation; DFR; Erlang; Failure rate; Hyperexponential; IMRL; Ladder height; Lundberg approximation; Mean residual lifetime; NBU; NWU; Renewal risk process; Sparre Andersen process

Indexed keywords

EID: 0036339126     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(02)00122-1     Document Type: Article

References (26)

1. Error bounds for exponential approximations of geometric convolutions
2. NWU property of a class of random sums
3. Explicit Wiener-Hopf factorizations for the analysis of multidimensional queues
4. Ruin probabilities for Erlang(2) risk processes
5. Ruin problems for phase-type(2) risk processes
6. Preservation of certain classes of life distributions under Poisson shock models
7. Analysis of a defective renewal equation arising in ruin theory
8. The moments of the time of ruin, the surplus before ruin, and the deficit at ruin
9. On the concavity of the waiting time distribution in some GI/G/1 queues
10. Further use of Shiu's approach to the evaluation of ultimate ruin probabilities
11. A Laplace transform representation in a class of renewal queueing and risk processes
12. On evaluation of the conditional distribution of the deficit at the time of ruin
13. Exact and approximate properties of the distribution of surplus before and after ruin
14. Lundberg inequalities for renewal equations