Supermodular comparison of time-to-ruin random vectors

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This paper studies time-to-ruin random vectors for multivariate risk processes. Two cases are considered: risk processes with independent increments and risk processes evolving in a common random environment (e.g., because they share the same economic conditions). As expected, increasing the dependence between the risk processes increases the dependence between their respective time-to-ruin random variables.

Original languageEnglish
Pages (from-to)41-54
Number of pages14
JournalMethodology and Computing in Applied Probability
Issue number1
StatePublished - Mar 2007

Bibliographical note

Funding Information:
Acknowledgements The authors thank the referees for the detailed comments and pointing out a mistake in the first version of the paper. We thank the associate editor for bringing to our attention Belzunce et al. (2006), and Zhang and Chengguo (2006) paper. Michel Denuit acknowledges the financial support of the Communauté française de Belgique under contract “Projet d’Actions de Recherche Concertées” ARC 04/09-320, as well as the financial support of the Banque Nationale de Belgique under grant “Risk measures and Economic capital.” This research has been partly done while Esther Frostig was visiting the Institute of Actuarial Science of the Université catholique de Louvain, supported by the ARC 04/09-320 project.


  • Association
  • Conditional increasingness
  • Orthant orders
  • Ruin theory
  • Super modular order

ASJC Scopus subject areas

  • Statistics and Probability
  • General Mathematics


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