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

Claude Lefèvre, Julien Trufin, Pierre Zuyderhoff

Research output: Journal PublicationArticlepeer-review

3 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 languageEnglish
Pages (from-to)143-149
Number of pages7
JournalInsurance: Mathematics and Economics
Volume77
DOIs
Publication statusPublished - Nov 2017
Externally publishedYes

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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