Bounds for the Ruin Probability in the Sparre–Andersen Model
We obtain the upper and lower bounds for the ruin probability in the Sparre–Andersen model. These bounds are established under various conditions: when the adjustment coefficient exists, when it does not exist, and when the interarrival distribution belongs to certain aging classes. Additionally, we...
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| Format: | Article |
| Language: | English |
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MDPI AG
2024-02-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/12/2/28 |
| _version_ | 1797297085670752256 |
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| author | Sotirios Losidis Vaios Dermitzakis |
| author_facet | Sotirios Losidis Vaios Dermitzakis |
| author_sort | Sotirios Losidis |
| collection | DOAJ |
| description | We obtain the upper and lower bounds for the ruin probability in the Sparre–Andersen model. These bounds are established under various conditions: when the adjustment coefficient exists, when it does not exist, and when the interarrival distribution belongs to certain aging classes. Additionally, we improve the Lundberg upper bound for the ruin probability. |
| first_indexed | 2024-03-07T22:15:10Z |
| format | Article |
| id | doaj.art-a1b27872d59d4b6dab6a6339f756a9b8 |
| institution | Directory Open Access Journal |
| issn | 2227-9091 |
| language | English |
| last_indexed | 2024-03-07T22:15:10Z |
| publishDate | 2024-02-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Risks |
| spelling | doaj.art-a1b27872d59d4b6dab6a6339f756a9b82024-02-23T15:33:20ZengMDPI AGRisks2227-90912024-02-011222810.3390/risks12020028Bounds for the Ruin Probability in the Sparre–Andersen ModelSotirios Losidis0Vaios Dermitzakis1Independent Researcher, 30 Aristaiou Str., 11743 Athens, GreeceInstitute for Financial and Actuarial Mathematics, Department of Mathematical Sciences, University of Liverpool, Liverpool L69 7ZL, UKWe obtain the upper and lower bounds for the ruin probability in the Sparre–Andersen model. These bounds are established under various conditions: when the adjustment coefficient exists, when it does not exist, and when the interarrival distribution belongs to certain aging classes. Additionally, we improve the Lundberg upper bound for the ruin probability.https://www.mdpi.com/2227-9091/12/2/28Sparre–Andersen modelruin probabilitytruncated Cramer–Lundberg conditionaging properties |
| spellingShingle | Sotirios Losidis Vaios Dermitzakis Bounds for the Ruin Probability in the Sparre–Andersen Model Risks Sparre–Andersen model ruin probability truncated Cramer–Lundberg condition aging properties |
| title | Bounds for the Ruin Probability in the Sparre–Andersen Model |
| title_full | Bounds for the Ruin Probability in the Sparre–Andersen Model |
| title_fullStr | Bounds for the Ruin Probability in the Sparre–Andersen Model |
| title_full_unstemmed | Bounds for the Ruin Probability in the Sparre–Andersen Model |
| title_short | Bounds for the Ruin Probability in the Sparre–Andersen Model |
| title_sort | bounds for the ruin probability in the sparre andersen model |
| topic | Sparre–Andersen model ruin probability truncated Cramer–Lundberg condition aging properties |
| url | https://www.mdpi.com/2227-9091/12/2/28 |
| work_keys_str_mv | AT sotirioslosidis boundsfortheruinprobabilityinthesparreandersenmodel AT vaiosdermitzakis boundsfortheruinprobabilityinthesparreandersenmodel |