Ordering ruin probabilities for dependent claim streams.

DOI10.1016/S0167-6687(02)00206-8zbMath1065.91034OpenAlexW2075175593MaRDI QIDQ1413386

Esther Frostig

Publication date: 16 November 2003

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

Full work available at URL: https://doi.org/10.1016/s0167-6687(02)00206-8

zbMATH Keywords

Poisson processesruin probabilitiessupermodular vector orderings

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Signal detection and filtering (aspects of stochastic processes) (60G35)

Related Items (10)

Supermodular comparison of time-to-ruin random vectors ⋮ Ruin probabilities in Cox risk models with two dependent classes of business ⋮ CONVEX COMPARISONS FOR RANDOM SUMS IN RANDOM ENVIRONMENTS AND APPLICATIONS ⋮ Dependence orderings for some functionals of multivariate point processes ⋮ On the first time of ruin in the bivariate compound Poisson model ⋮ Lundberg parameters for non standard risk processes ⋮ Dependence structures of multivariate Bernoulli random vectors ⋮ Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed ⋮ Unnamed Item ⋮ General Marshall–Olkin Models, Dependence Orders, and Comparisons of Environmental Processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Inequalities for distributions with given marginals
• On dependence of risks and stop-loss premiums
• Supermodular stochastic orders and positive dependence of random vectors
• On the dependency of risks in the individual life model
• Stop-loss order for portfolios of dependent risks
• The discrete-time risk model with correlated classes of business
• Optimal reinsurance in relation to ordering of risks
• The safest dependence structure among risks.
• Majorization of Weighted Trees: A New Tool to Study Correlated Stochastic Systems
• Structural Analysis of a Queueing System with Multiclasses of Correlated Arrivals and Blocking
• Inequalities for stochastic models via supermodular orderings
• Minimizing a Submodular Function on a Lattice
• Ordering of risks and ruin probabilities
• Inequalities: theory of majorization and its applications

This page was built for publication: Ordering ruin probabilities for dependent claim streams.