Supermodular Comparison of Time-to-Ruin Random Vectors

Michel Denuit, Esther Frostig () and Benny Levikson
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Michel Denuit: Université Catholique de Louvain
Esther Frostig: University of Haifa
Benny Levikson: University of Haifa

Methodology and Computing in Applied Probability, 2007, vol. 9, issue 1, 41-54

Abstract: Abstract This paper studies time-to-ruin random vectors for multivariate risk processes. Two cases are considered: risk processes with independent increments and risk processes evolving in a common random environment (e.g., because they share the same economic conditions). As expected, increasing the dependence between the risk processes increases the dependence between their respective time-to-ruin random variables.

Keywords: ruin theory; association; orthant orders; conditional increasingness; supermodular order; 62P05; 60E15; 60G51 (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s11009-006-9004-4

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