On orderings and bounds in a generalized Sparre Andersen risk model

Eric C. K. Cheung, David Landriault, Gordon E. Willmot and Jae‐Kyung Woo

Applied Stochastic Models in Business and Industry, 2011, vol. 27, issue 1, 51-60

Abstract: A generalization of the Gerber–Shiu function proposed by (Cheung et al., Scand. Actuarial J., in press, 2010) is used to derive some ordering properties for certain ruin‐related quantities in a Sparre Andersen type risk model. Additional bounds and/or refinements can be obtained by further assuming that the claim size and the interclaim time distributions possess certain reliability properties. Finally, numerical examples are considered to compare the exact solution to the bounds. Copyright © 2010 John Wiley & Sons, Ltd.

Date: 2011
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https://doi.org/10.1002/asmb.837

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:27:y:2011:i:1:p:51-60

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