Supermodular Order and Lundberg Exponents

Alessandro Juri

Scandinavian Actuarial Journal, 2002, vol. 2002, issue 1, 17-36

Abstract: A risk process where the claims are sums of dependent random variables is considered. Using the supermodular order the influence, the dependence has on the infinite- and finite-time Lundberg exponent is investigated and monotonicity results are obtained.

Date: 2002
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DOI: 10.1080/03461230110106200

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