Inequality extensions of Prabhu's formula in ruin theory

DOI10.1016/S0167-6687(98)00056-0zbMath0982.91032OpenAlexW2016659093MaRDI QIDQ1302129

Marc J. Goovaerts, F. Etienne De Vylder

Publication date: 12 September 1999

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(98)00056-0

zbMATH Keywords

ruin probabilityclassical risk modelcyclically interchangeable increments

Mathematics Subject Classification ID

Related Items (9)

First-exit times for compound poisson processes for some types of positive and negative jumps ⋮ Some new classes of stochastic order relations among arithmetic random variables, with applications in actuarial sciences ⋮ De Vylder and Goovaerts' conjecture on homogeneous risk models with equalized claim amounts ⋮ Duality in ruin problems for ordered risk models ⋮ A new look at the homogeneous risk model ⋮ Ruin and deficit under claim arrivals with the order statistics property ⋮ Two-sided exit problems in the ordered risk model ⋮ Ruin probabilities for risk models with ordered claim arrivals ⋮ Homogeneous risk models with equalized claim amounts

Cites Work

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• Inversed martingales in risk theory
• Mathematical fun with ruin theory
• A new proof for a known result in risk theory
• Explicit finite-time and infinite-time ruin probabilities in the continuous case
• Homogeneous risk models with equalized claim amounts
• On the Ruin Problem of Collective Risk Theory
• The probability of ruin in finite time with discrete claim size distribution
• On the Time Value of Ruin

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