Upper and lower bounds on infinite time ruin probabilities in case of constraints on claim size distributions

DOI10.1016/0304-4076(83)90076-3zbMath0527.62093OpenAlexW2085342432MaRDI QIDQ595312

F. Etienne De Vylder, Marc J. Goovaerts

Publication date: 1983

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://lirias.kuleuven.be/handle/123456789/657530

zbMATH Keywords

incomplete informationdefective renewal equationbounds on infinite time ruin probabilitiesconstraints on claim size distributionsordering of riskspartial ordering of ruin probabilities

Mathematics Subject Classification ID

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

Cites Work

• Ordering of risks: a review
• Analytical best upper bounds on stop-loss premiums
• Duality theory for bounds on integrals with applications to stop-loss premiums
• Use of differential and integral inequalities to bound ruin and queuing probabilities
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