Stochastic bounds for the Sparre Andersen process

DOI10.1007/S11009-005-1484-0MaRDI QIDQ812976zbMATH OpenOpenAlexFDO

Authors Franco Pellerey, Cristina Zucca

Publication date 30 January 2006

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11009-005-1484-0

zbMATH Keywords

convex orderpositive dependenceruin probabilitiesstochastic order

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Review text

Let \(X(j)\), \(j>0\), be independent and identically distributed random variables, and let \(N(t)\) be a counting process, independent of the \(X(j)\). The random sum \(S(t)\) of the first \(N(t)\) members of the sequence \(X(j)\) is frequently appearing in the actuarial and insurance literature. \(S(t)\) is called a Sparre Andersen process if \(N\) is a renewal process. Computation with \(S(t)\) is usually difficult, due to the lack of knowledge on \(X(j)\) and \(N(t)\). The authors set stochastic bounds on \(S(t)\) which bounds are computable. Several examples are given, and the sharpness of the bounds is discussed.

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Cited in

(3)

• Sparre Andersen identity and the last passage time
• On a First-Passage-Time Problem for the Compound Power-Law Process
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