Aging properties and bounds for ruin probabilities and stop-loss premiums

被引：20
作者：
Cai, J
Garrido, J
机构：
[1] Concordia Univ, Dept Math & Stat, Montreal, PQ H4B 1R6, Canada
[2] Univ Melbourne, Ctr Actuarial Studies, Parkville, Vic 3052, Australia
来源：
INSURANCE MATHEMATICS & ECONOMICS | 1998年 / 23卷 / 01期
基金：
加拿大自然科学与工程研究理事会;
关键词：
ruin probability; stop-loss premium; sub-exponential distributions; new worse than used (NWU); new better than used (NBU);
D O I：
10.1016/S0167-6687(98)00019-5
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper, we derive relations between stop-loss premiums and their associated ruin probabilities by use of the new worse than used (NWU) aging property of the ruin probability. General upper and lower bounds for the stop-loss premium are derived. Also, we get a general upper bound for the ruin probability, the general upper bound is sharper than that of Willmot [Refinements and distributional generalizations of Lundberg's inequalities, Insurance: Mathematics and Economics 15 (1994) 49-63] and asymptotically sharper than that of Broeckx et al. [Ordering of risks and ruin probabilities, Insurance: Mathematics and Economics 5 (1986) 35-40]. The asymptotical behavior of these bounds is discussed. The relationships among sub-exponential, new better than used (NBU) distributions and upper bounds of the ruin probability and stop-loss premiums are considered. (C) 1998 Elsvier Science B.V.
引用
收藏
页码：33 / 43
页数：11
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