Some comparison results for finite-time ruin probabilities in the classical risk model. (English) Zbl 1397.91289
Summary: 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.
MSC:
| 91B30 | Risk theory, insurance (MSC2010) |
| 60E05 | Probability distributions: general theory |
| 60E15 | Inequalities; stochastic orderings |
Keywords:
ordering of risks; ruin probabilities; classical risk model; convex type orders; asymptotic ordersReferences:
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