Supermodular Order and Lundberg Exponents

DOI10.1080/03461230110106200zbMATH Open1007.91027OpenAlexW1972470782MaRDI QIDQ4780927FDOQ4780927

Authors: Alessandro Juri 

Publication date: 21 November 2002

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461230110106200

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zbMATH Keywords

ruin probabilityrisk processsupermodular orderLundberg exponentcomonotonic random variablesmutually exclusive random variables

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

Cites Work

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• Orderings of risks: A comparative study via stop-loss transforms
• Aspects of risk theory
• The safest dependence structure among risks.
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• Stochastic Orders Generated by Integrals: a Unified Study
• Stop-loss order for portfolios of dependent risks
• Exponential inequalities for ruin probabilities in the Cox case
• Parametric stochastic convexity and concavity of stochastic processes
• Finite-time Lundberg inequalities in the Cox case
• Modeling and Comparing Dependencies in Multivariate Risk Portfolios
• An asymptotic expression for the probability of ruin within finite time
• Inequalities for stochastic models via supermodular orderings
• Martingale results in risk theory with a view to ruin probabilities and diffusions

Cited In (9)

• Dependence properties and comparison results for Lévy processes
• On a risk model with claim investigation
• Ruin probabilities for a risk model with two classes of claims
• Supermodularity and subadditivity properties of the entropy on the majorization lattice
• On the first time of ruin in the bivariate compound Poisson model
• On a risk model with dependence between interclaim arrivals and claim sizes
• Lundberg parameters for non standard risk processes
• Title not available (Why is that?)
• Title not available (Why is that?)

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