Inequality extensions of Prabhu's formula in ruin theory

DOI10.1016/S0167-6687(98)00056-0zbMATH Open0982.91032OpenAlexW2016659093MaRDI QIDQ1302129FDOQ1302129

Authors: Floriaen E. C. De Vylder, Marc J. Goovaerts 

Publication date: 12 September 1999

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-6687(98)00056-0

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zbMATH Keywords

ruin probabilityclassical risk modelcyclically interchangeable increments

Mathematics Subject Classification ID

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Explicit finite-time and infinite-time ruin probabilities in the continuous case
• The probability of ruin in finite time with discrete claim size distribution
• On the Time Value of Ruin
• On the Ruin Problem of Collective Risk Theory
• Title not available (Why is that?)
• Mathematical fun with ruin theory
• Homogeneous risk models with equalized claim amounts
• Inversed martingales in risk theory
• A new proof for a known result in risk theory

Cited In (9)

• Ruin and deficit under claim arrivals with the order statistics property
• Ruin probabilities for risk models with ordered claim arrivals
• Some new classes of stochastic order relations among arithmetic random variables, with applications in actuarial sciences
• First-exit times for compound poisson processes for some types of positive and negative jumps
• Duality in ruin problems for ordered risk models
• De Vylder and Goovaerts' conjecture on homogeneous risk models with equalized claim amounts
• Two-sided exit problems in the ordered risk model
• A new look at the homogeneous risk model
• Homogeneous risk models with equalized claim amounts

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