Some Stochastic Orders over an Interval with Applications

Lazaros Kanellopoulos ()
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Lazaros Kanellopoulos: Department of Statistics and Insurance Science, University of Piraeus, 80 M. Karaoli & A. Dimitriou Str., 18534 Piraeus, Greece

Risks, 2023, vol. 11, issue 9, 1-14

Abstract: In this article, we study stochastic orders over an interval. Mainly, we focus on orders related to the Laplace transform. The results are then applied to obtain a bound for heavy-tailed distributions and are illustrated by some examples. We also indicate how these ordering relationships can be adapted to the classical risk model in order to derive a moment bound for ruin probability. Finally, we compare it with other existing bounds.

Keywords: stochastic orders; Laplace transform; heavy-tailed distribution; ruin probability; bound (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:11:y:2023:i:9:p:161-:d:1233350

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