On orderings and bounds in a generalized Sparre Andersen risk model

DOI10.1002/asmb.837zbMath1274.60050MaRDI QIDQ2862420

Gordon E. Willmot, David Landriault, Eric C. K. Cheung, Jae-Kyung Woo

Publication date: 15 November 2013

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.837

zbMATH Keywords

stochastic ordering; NBU; NWU; Gerber-Shiu function; Sparre Andersen risk model; last interclaim time; claim causing ruin; last ladder height

Mathematics Subject Classification ID

60E15: Inequalities; stochastic orderings

Related Items

On the discounted aggregate claim costs until ruin in dependent Sparre Andersen risk processes, On a Gerber-Shiu type function and its applications in a dual semi-Markovian risk model, A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium, On the analysis of a general class of dependent risk processes, A unified analysis of claim costs up to ruin in a Markovian arrival risk model

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