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

DOI10.1016/j.insmatheco.2017.09.004zbMath1397.91289OpenAlexW2760121850MaRDI QIDQ1681094

Julien Trufin, Pierre Zuyderhoff, Claude Lefèvre

Publication date: 23 November 2017

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

Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/258727/3/LefevreTrufinZuyderhoff2017_Diffusion.pdf

zbMATH Keywords

classical risk modelruin probabilitiesordering of risksasymptotic ordersconvex type orders

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Probability distributions: general theory (60E05)

Related Items (2)

Conditional mean risk sharing of losses at occurrence time in the compound Poisson surplus model ⋮ Orthogonal polynomial expansions to evaluate stop-loss premiums

Cites Work

• Asymptotic aspects of the Gerber-Shiu function in the renewal risk model using Wiener-Hopf factorization and convolution equivalence
• Asymptotic ordering of risks and ruin probabilities
• Stochastic orders
• Subexponential distributions and characterizations of related classes
• Asymptotic ordering of distribution functions and convolution semigroups
• On the \(n\)th stop-loss transform order of ruin probability.
• On the De Vylder and Goovaerts Conjecture About Ruin for Equalized Claims
• Insurance Risk and Ruin
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