Article ID Journal Published Year Pages File Type
5076106 Insurance: Mathematics and Economics 2017 7 Pages PDF
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
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