Some comparison results for finite-time ruin probabilities in the classical risk model

Claude Lefèvre, Julien Trufin and Pierre Zuyderhoff

Insurance: Mathematics and Economics, 2017, vol. 77, issue C, 143-149

Abstract: This paper aims at showing how an ordering on claim amounts can influence finite-time ruin probabilities. Until now such a question was examined essentially for ultimate ruin probabilities. Over a finite horizon, a general approach does not seem possible but the study is conducted under different sets of conditions. This primarily covers the cases where the initial reserve is null or large.

Keywords: Ordering of risks; Ruin probabilities; Classical risk model; Convex type orders; Asymptotic orders (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:77:y:2017:i:c:p:143-149

DOI: 10.1016/j.insmatheco.2017.09.004

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