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

positive dependenceconvex orderstochastic orderruin probabilities

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
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• scientific article; zbMATH DE number 1122116 (Why is no real title available?)
• scientific article; zbMATH DE number 3364606 (Why is no real title available?)
• A finite-time ruin probability formula for continuous claim severities
• Approximations and upper bounds on probabilities of large deviations in the problem of ruin within finite time
• Association and probability inequalities
• Association of Random Variables, with Applications
• Association of probability measures on partially ordered spaces
• Bounds for Ruin Probabilities in the Presence of Large Claims and their Comparison
• Lundberg approximations for compound distributions with insurance applications
• Some distributions for classical risk process that is perturbed by diffusion
• The probability of ruin in finite time with discrete claim size distribution
• Two-Sided Bounds for the Finite Time Probability of Ruin
• Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.

Cited in

(3)

• Sparre Andersen identity and the last passage time
• scientific article; zbMATH DE number 5583846 (Why is no real title available?)
• On a First-Passage-Time Problem for the Compound Power-Law Process

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