Zobrazeno 1 - 4
of 4
pro vyhledávání: '"Vaios Dermitzakis"'
Autor:
Sotirios Losidis, Vaios Dermitzakis
Publikováno v:
Risks, Vol 12, Iss 2, p 28 (2024)
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 distributio
Externí odkaz:
https://doaj.org/article/a1b27872d59d4b6dab6a6339f756a9b8
Autor:
Konstadinos Politis, Vaios Dermitzakis
Publikováno v:
Statistics & Probability Letters. 180:109226
We obtain sufficient conditions for the solution of a renewal equation (proper or defective) to be monotonic. Various known results concerning monotonicity of solutions appear as special cases of our results.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::74bcc7f897f35fdfaa8ca037590831b4
https://doi.org/10.1016/j.spl.2021.109226
https://doi.org/10.1016/j.spl.2021.109226
Autor:
Konstadinos Politis, Vaios Dermitzakis
Publikováno v:
Methodology and Computing in Applied Probability. 13:749-761
We obtain the asymptotic behaviour of the k-th moment of the time to ruin in the classical risk model perturbed by diffusion for the case where the claim size distribution has a heavy tail.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::677be7875885b63b6fe9f3faef5bfbc1
https://doi.org/10.1007/s11009-010-9185-8
https://doi.org/10.1007/s11009-010-9185-8
Publikováno v:
Methodology and Computing in Applied Probability. 12:155-175
We obtain analogues of Lundberg’s inequality and the Cramer—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
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a27955a6327141ebafca778b35e80d82
https://doi.org/10.1007/s11009-008-9102-6
https://doi.org/10.1007/s11009-008-9102-6