Ordering ruin probabilities for dependent claim streams

Esther Frostig

doi:10.1016/S0167-6687(02)00206-8

Ordering ruin probabilities for dependent claim streams

Esther Frostig

Department of Statistics

Research output: Contribution to journal › Article › peer-review

Abstract

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 language	English
Pages (from-to)	93-114
Number of pages	22
Journal	Insurance: Mathematics and Economics
Volume	32
Issue number	1
DOIs	https://doi.org/10.1016/S0167-6687(02)00206-8
State	Published - 19 Feb 2003

Keywords

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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10.1016/S0167-6687(02)00206-8

Cite this

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AB - 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].

KW - G-transform ordering

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KW - Poisson shock process

KW - Ruin probabilities

KW - Supermodular ordering

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Ordering ruin probabilities for dependent claim streams

Abstract

Keywords

ASJC Scopus subject areas

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