Stochastic bounds for the Sparre Andersen process

DOI10.1007/s11009-005-1484-0zbMath1092.60035OpenAlexW2054883989MaRDI QIDQ812976

Cristina Zucca, Franco Pellerey

Publication date: 30 January 2006

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-005-1484-0

zbMATH Keywords

positive dependencestochastic orderconvex orderruin probabilities

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (1)

On a First-Passage-Time Problem for the Compound Power-Law Process

Cites Work

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• The probability of ruin in finite time with discrete claim size distribution
• Approximations and upper bounds on probabilities of large deviations in the problem of ruin within finite time
• A finite-time ruin probability formula for continuous claim severities
• Association of Random Variables, with Applications
• Bounds for Ruin Probabilities in the Presence of Large Claims and their Comparison

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