Ordering of risks and ruin probabilities (Q5903085)
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scientific article; zbMATH DE number 3947479
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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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1.0000004
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0.9588631
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0.91818225
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0.9052812
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0.9013329
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0.8991848
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