Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5076106 | Insurance: Mathematics and Economics | 2017 | 7 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Claude Lefèvre, Julien Trufin, Pierre Zuyderhoff,