Supermodular Order and Lundberg Exponents
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Publication:4780927
DOI10.1080/03461230110106200zbMath1007.91027OpenAlexW1972470782MaRDI QIDQ4780927
Publication date: 21 November 2002
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461230110106200
risk processruin probabilitysupermodular orderLundberg exponentcomonotonic random variablesmutually exclusive random variables
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Related Items (6)
Ruin probabilities for a risk model with two classes of claims ⋮ On a risk model with claim investigation ⋮ Dependence properties and comparison results for Lévy processes ⋮ On the first time of ruin in the bivariate compound Poisson model ⋮ Lundberg parameters for non standard risk processes ⋮ On a risk model with dependence between interclaim arrivals and claim sizes
Cites Work
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- Inequalities for stochastic models via supermodular orderings
- Finite-time Lundberg inequalities in the Cox case
- Modeling and Comparing Dependencies in Multivariate Risk Portfolios
- Exponential inequalities for ruin probabilities in the Cox case
- Stochastic Orders Generated by Integrals: a Unified Study
- Martingale results in risk theory with a view to ruin probabilities and diffusions
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