Stochastic bounds for the Sparre Andersen process

DOI10.1007/S11009-005-1484-0zbMATH Open1092.60035OpenAlexW2054883989MaRDI QIDQ812976FDOQ812976

Cristina Zucca, Franco Pellerey

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

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zbMATH Keywords

positive dependenceconvex orderstochastic orderruin probabilities

Mathematics Subject Classification ID

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

Cites Work

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• Association of Random Variables, with Applications
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• The probability of ruin in finite time with discrete claim size distribution
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• Association and probability inequalities
• A finite-time ruin probability formula for continuous claim severities
• Lundberg approximations for compound distributions with insurance applications
• Approximations and upper bounds on probabilities of large deviations in the problem of ruin within finite time
• Association of probability measures on partially ordered spaces
• Two-Sided Bounds for the Finite Time Probability of Ruin
• Some distributions for classical risk process that is perturbed by diffusion
• Upper bounds for ultimate ruin probabilities in the Sparre Andersen model with interest.
• Bounds for Ruin Probabilities in the Presence of Large Claims and their Comparison

Cited In (2)

• Title not available (Why is that?)
• On a First-Passage-Time Problem for the Compound Power-Law Process

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