Supermodular Order and Lundberg Exponents

DOI10.1080/03461230110106200MaRDI QIDQ4780927zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

ruin probabilityrisk processsupermodular orderLundberg exponentcomonotonic random variablesmutually exclusive random variables

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15)

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Cites work

• scientific article; zbMATH DE number 3852171 (Why is no real title available?)
• scientific article; zbMATH DE number 605729 (Why is no real title available?)
• An asymptotic expression for the probability of ruin within finite time
• Aspects of risk theory
• Exponential inequalities for ruin probabilities in the Cox case
• Finite-time Lundberg inequalities in the Cox case
• Inequalities for stochastic models via supermodular orderings
• Martingale results in risk theory with a view to ruin probabilities and diffusions
• Modeling and Comparing Dependencies in Multivariate Risk Portfolios
• Orderings of risks: A comparative study via stop-loss transforms
• Parametric stochastic convexity and concavity of stochastic processes
• Stochastic Orders Generated by Integrals: a Unified Study
• Stop-loss order for portfolios of dependent risks
• The safest dependence structure among risks.

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
• scientific article; zbMATH DE number 7047643 (Why is no real title available?)
• Lundberg parameters for non standard risk processes
• scientific article; zbMATH DE number 6112829 (Why is no real title available?)

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