De Vylder and Goovaerts' conjecture on homogeneous risk models with equalized claim amounts

Bara Kim, Jeongsim Kim and Jerim Kim

Insurance: Mathematics and Economics, 2021, vol. 101, issue PB, 186-201

Abstract: De Vylder and Goovaerts (2000) made a conjecture on the comparison of the finite time ruin probability in a homogeneous risk model and the corresponding ruin probability in an associated model with equalized claim amounts. The conjecture, however, remains an open problem. In this paper, we provide a conjecture that is stronger than De Vylder and Goovaerts' conjecture and also provide sufficient conditions for the conjectures, which are more mathematically tractable than De Vylder and Goovaerts' conjecture and thus easier to work with. By using the sufficient conditions for the conjectures, we solve De Vylder and Goovaerts' conjecture when n=3, where n is the number of claims in the finite time.

Keywords: De Vylder and Goovaerts' conjecture; Homogeneous risk model; Ruin probability; Risk reserve process; Order statistics (search for similar items in EconPapers)
JEL-codes: C60 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:101:y:2021:i:pb:p:186-201

DOI: 10.1016/j.insmatheco.2021.07.007

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