Supermodular comparison of time-to-ruin random vectors
DOI10.1007/S11009-006-9004-4zbMATH Open1115.62111OpenAlexW2019246791MaRDI QIDQ2642480FDOQ2642480
Authors: Esther Frostig, Benny Levikson, Michel Denuit 
Publication date: 17 August 2007
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-006-9004-4
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Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Inequalities; stochastic orderings (60E15)
Cites Work
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- Variability of total claim amounts under dependence between claims severity and number of events
- Ordering ruin probabilities for dependent claim streams.
- On the dependence structure and bounds of correlated parallel queues and their applications to synchronized stochastic systems
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- On a probability bound of Marshall and Olkin
- Positive dependence properties of conditionally independent random lifetimes
- On the correlation order
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Cited In (7)
- General Marshall-Olkin models, dependence orders, and comparisons of environmental processes
- Supermodular Order and Lundberg Exponents
- Survival probabilities in bivariate risk models, with application to reinsurance
- Dependence properties and comparison results for Lévy processes
- Stochastic comparisons of symmetric supermodular functions of heterogeneous random vectors
- Title not available (Why is that?)
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