Some comparison results for finite-time ruin probabilities in the classical risk model

Lefevre Claude; Trufin Julien; Zuyderhoff Pierre

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Some comparison results for finite-time ruin probabilities in the classical risk model

机译：经典风险模型中有限时间破产概率的一些比较结果

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摘要

This paper aims at showing how an ordering on claim amounts can influence finite-time ruin probabilities. Until now such a question was examined essentially for ultimate ruin probabilities. Over a finite horizon, a general approach does not seem possible but the study is conducted under different sets of conditions. This primarily covers the cases where the initial reserve is null or large. (C) 2017 Elsevier B.V. All rights reserved.

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《Insurance》 |2017年第11期|143-149|共7页
作者
Lefevre Claude; Trufin Julien; Zuyderhoff Pierre;
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作者单位

Univ Libre Bruxelles, Dept Math, Campus Plaine,CP 210, B-1050 Brussels, Belgium;

Univ Libre Bruxelles, Dept Math, Campus Plaine,CP 210, B-1050 Brussels, Belgium;

Univ Libre Bruxelles, Dept Math, Campus Plaine,CP 210, B-1050 Brussels, Belgium;

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正文语种 eng
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关键词
Ordering of risks; Ruin probabilities; Classical risk model; Convex type orders; Asymptotic orders;

机译：风险排序;破产概率;经典风险模型;凸型订单;渐近订单;

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专利

1. On finite-time ruin probabilities for classical risk models [J] . Claude Lefvre, Stphane Loisel Scandinavian Actuarial Journal . 2008,第1期

机译：关于经典风险模型的有限时间破产概率
2. The finite-time ruin probability of a discrete-time risk model with GARCH discounted factors and dependent risks [J] . Liu Rongfei, Wang Dingcheng, Guo Fenglong Communications in Statistics . 2018,第16a18期

机译：具有GARCH折现因子和相关风险的离散时间风险模型的有限时间破产概率
3. Asymptotics for the finite-time ruin probability in a discrete-time risk model with dependent insurance and financial risks * [J] . Kaiyong Wang, Miaomiao Gao, Yang Yang, Lithuanian mathematical journal . 2018,第1期

机译：具有依赖保险和金融风险的离散时间风险模型中的有限时间破坏概率<上标> * /上标>的渐近概率
4. Finite-time ruin probability for Erlang risk model with exponential claims [C] . Jiang Tao, Tong Congyan The 2nd International Conference on Information Science and Engineering . 2010

机译：具有指数索赔的Erlang风险模型的有限时间破产概率
5. A class of bivariate Erlang distributions and ruin probabilities in multivariate risk models. [D] . Groparu-Cojocaru, Ionica. 2013

机译：多元风险模型中的一类二元Erlang分布和破产概率。
6. Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns [O] . Yinghua Dong, Dingcheng Wang -1

机译：具有随机收益的二维非标准更新风险模型中破产概率的一致渐近性
7. Some comparison results for finite-time ruin probabilities in the classical risk model [O] . Claude Lefèvre, Julien Trufin, Pierre Zuyderhoff 2017

机译：古典风险模型中有限时间毁灭概率的一些比较结果

Some comparison results for finite-time ruin probabilities in the classical risk model

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