Supermodular comparison of time-to-ruin random vectors

Michel Denuit; Esther Frostig; Benny Levikson

doi:10.1007/s11009-006-9004-4

Supermodular comparison of time-to-ruin random vectors

Michel Denuit, Esther Frostig, Benny Levikson

Department of Statistics

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

Abstract

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 language	English
Pages (from-to)	41-54
Number of pages	14
Journal	Methodology and Computing in Applied Probability
Volume	9
Issue number	1
DOIs	https://doi.org/10.1007/s11009-006-9004-4
State	Published - 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.

Keywords

Association
Conditional increasingness
Orthant orders
Ruin theory
Super modular order

ASJC Scopus subject areas

Statistics and Probability
General Mathematics

Access to Document

10.1007/s11009-006-9004-4

Cite this

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abstract = "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.",

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Supermodular comparison of time-to-ruin random vectors

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

Access to Document

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