On orderings and bounds in a generalized Sparre Andersen risk model

被引：6

作者：

Cheung, Eric C. K. ^{[1
]}

Landriault, David ^{[1
]}

Willmot, Gordon E. ^{[1
]}

Woo, Jae-Kyung ^{[1
]}

机构：

[1] Univ Waterloo, Dept Stat & Actuarial Sci, Waterloo, ON N2L 3G1, Canada

来源：

APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY | 2011年 / 27卷 / 01期

关键词：

Gerber-Shiu function; Sparre Andersen risk model; last interclaim time; claim causing ruin; last ladder height; stochastic ordering; NBU; NWU; DISTRIBUTIONS; DEPENDENCE;

D O I：

10.1002/asmb.837

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

A generalization of the Gerber-Shiu function proposed by (Cheung et al., Scand. Actuarial J., in press, 2010) is used to derive some ordering properties for certain ruin-related quantities in a Sparre Andersen type risk model. Additional bounds and/or refinements can be obtained by further assuming that the claim size and the interclaim time distributions possess certain reliability properties. Finally, numerical examples are considered to compare the exact solution to the bounds. Copyright (C) 2010 John Wiley & Sons, Ltd.

引用

页码：51 / 60

页数：10

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