Ordering of risks and ruin probabilities (Q5903085): Difference between revisions
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Property / full work available at URL: https://doi.org/10.1016/0167-6687(86)90005-3 / rank | |||
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Property / cites work: Bounds for certain integrals / rank | |||
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Property / cites work: Bounds for classical ruin probabilities / rank | |||
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Property / cites work: Application of the problem of moments to derive bounds on integrals with integral constraints / rank | |||
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Property / cites work: Q3314810 / rank | |||
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Property / cites work: Use of differential and integral inequalities to bound ruin and queuing probabilities / rank | |||
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Latest revision as of 13:41, 17 June 2024
scientific article; zbMATH DE number 3947479
Language | Label | Description | Also known as |
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English | Ordering of risks and ruin probabilities |
scientific article; zbMATH DE number 3947479 |
Statements
Ordering of risks and ruin probabilities (English)
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1986
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The authors consider the classical model in risk theory, where the individual claim amounts are i.i.d. random variables and the claim number process is a homogeneous Poisson process. They give upper and lower bounds of the infinite-time ruin probability for different cases of information on the claim size distribution. In the following discussion of this paper G. C. Taylor calculates these bounds for a given numerical example and relates the results to some other investigations.
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independence and equidistribution assumptions
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compound Poisson
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process
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risk theory
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claim number process
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homogeneous Poisson process
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upper and lower bounds of the infinite-time ruin probability
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claim size distribution
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numerical example
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