Ordering of risks and ruin probabilities

DOI10.1016/0167-6687(86)90005-3zbMath0589.62089OpenAlexW2014321592MaRDI QIDQ5903085

Marc J. Goovaerts, F. Etienne De Vylder, Fernand Broeckx

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1016/0167-6687(86)90005-3

zbMATH Keywords

numerical examplecompound Poissonclaim number processprocessrisk theoryhomogeneous Poisson processclaim size distributionindependence and equidistribution assumptionsupper and lower bounds of the infinite-time ruin probability

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (7)

Two-Sided Bounds for Ruin Probabilities when the Adjustment Coefficient does not Exist ⋮ An upper bound for the probability of ultimate ruin ⋮ Nonparametric statistical analysis of an upper bound of the ruin probability under large claims ⋮ Aging properties and bounds for ruin probabilities and stop-loss premiums ⋮ An effective method for constructing bounds for ruin probabilities for the surplus process perturbed by diffusion ⋮ Refinements of bounds for tails of compound distributions and ruin probabilities ⋮ Rate of convergence of the probability of ruin in the Cramér-Lundberg model to its diffusion approximation

Cites Work

• Unnamed Item
• Bounds for certain integrals
• Bounds for classical ruin probabilities
• Application of the problem of moments to derive bounds on integrals with integral constraints
• Use of differential and integral inequalities to bound ruin and queuing probabilities

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