Some comparison results for finite-time ruin probabilities in the classical risk model

Claude Lefèvre; Julien Trufin; Pierre Zuyderhoff

doi:10.1016/j.insmatheco.2017.09.004

Some comparison results for finite-time ruin probabilities in the classical risk model

Claude Lefèvre, Julien Trufin, Pierre Zuyderhoff

Research output: Journal Publication › Article › peer-review

5 Citations (Scopus)

Abstract

This paper aims at showing how an ordering on claim amounts can influence finite-time ruin probabilities. Until now such a question was examined essentially for ultimate ruin probabilities. Over a finite horizon, a general approach does not seem possible but the study is conducted under different sets of conditions. This primarily covers the cases where the initial reserve is null or large.

Original language	English
Pages (from-to)	143-149
Number of pages	7
Journal	Insurance: Mathematics and Economics
Volume	77
DOIs	https://doi.org/10.1016/j.insmatheco.2017.09.004
Publication status	Published - Nov 2017
Externally published	Yes

Keywords

Asymptotic orders
Classical risk model
Convex type orders
Ordering of risks
Ruin probabilities

ASJC Scopus subject areas

Statistics and Probability
Economics and Econometrics
Statistics, Probability and Uncertainty

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10.1016/j.insmatheco.2017.09.004

Cite this

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title = "Some comparison results for finite-time ruin probabilities in the classical risk model",

abstract = "This paper aims at showing how an ordering on claim amounts can influence finite-time ruin probabilities. Until now such a question was examined essentially for ultimate ruin probabilities. Over a finite horizon, a general approach does not seem possible but the study is conducted under different sets of conditions. This primarily covers the cases where the initial reserve is null or large.",

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AU - Trufin, Julien

AU - Zuyderhoff, Pierre

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N2 - This paper aims at showing how an ordering on claim amounts can influence finite-time ruin probabilities. Until now such a question was examined essentially for ultimate ruin probabilities. Over a finite horizon, a general approach does not seem possible but the study is conducted under different sets of conditions. This primarily covers the cases where the initial reserve is null or large.

AB - This paper aims at showing how an ordering on claim amounts can influence finite-time ruin probabilities. Until now such a question was examined essentially for ultimate ruin probabilities. Over a finite horizon, a general approach does not seem possible but the study is conducted under different sets of conditions. This primarily covers the cases where the initial reserve is null or large.

KW - Asymptotic orders

KW - Classical risk model

KW - Convex type orders

KW - Ordering of risks

KW - Ruin probabilities

UR - https://www.scopus.com/pages/publications/85033596503

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DO - 10.1016/j.insmatheco.2017.09.004

M3 - Article

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EP - 149

JO - Insurance: Mathematics and Economics

JF - Insurance: Mathematics and Economics

ER -

Some comparison results for finite-time ruin probabilities in the classical risk model

Abstract

Keywords

ASJC Scopus subject areas

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