Ordering of risks and ruin probabilities

DOI10.1016/0167-6687(86)90005-3zbMath0589.62089MaRDI QIDQ5903085

Marc J. Goovaerts, Fernand Broeckx, F. Etienne De Vylder

Publication date: 1986

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

Full work available at URL: https://doi.org/10.1016/0167-6687(86)90005-3

zbMATH Keywords

numerical example; compound Poisson; claim number process; process; risk theory; homogeneous Poisson process; claim size distribution; independence and equidistribution assumptions; upper and lower bounds of the infinite-time ruin probability

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

Related Items

Two-Sided Bounds for Ruin Probabilities when the Adjustment Coefficient does not Exist, An upper bound for the probability of ultimate ruin, Nonparametric statistical analysis of an upper bound of the ruin probability under large claims, Aging properties and bounds for ruin probabilities and stop-loss premiums, An effective method for constructing bounds for ruin probabilities for the surplus process perturbed by diffusion

Cites Work

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• Bounds for certain integrals
• Bounds for classical ruin probabilities
• Application of the problem of moments to derive bounds on integrals with integral constraints
• Use of differential and integral inequalities to bound ruin and queuing probabilities