Ordering ruin probabilities for dependent claim streams

Research output: Contribution to journalArticlepeer-review


Claims arriving to an office can be of several types. Due to different types of catastrophes or shocks, different types of claims might arrive at the same time. This phenomena imposes dependence among claims arrival streams of different types. We show that when the dependence among arrival streams increases, the ruin probability also increases. We consider the compound Poisson model. We extend and generalize results obtained by Cossette and Marceau [Math. Econ. 26 (2000) 133].

Original languageEnglish
Pages (from-to)93-114
Number of pages22
JournalInsurance: Mathematics and Economics
Issue number1
StatePublished - 19 Feb 2003


  • G-transform ordering
  • H-transform ordering
  • Poisson shock process
  • Ruin probabilities
  • Supermodular ordering

ASJC Scopus subject areas

  • Statistics and Probability
  • Economics and Econometrics
  • Statistics, Probability and Uncertainty


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