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Some comparison results for finite-time ruin probabilities in the classical risk model

par Lefèvre, Claude ;Trufin, Julien ;Zuyderhoff, Pierre
Référence Insurance. Mathematics & economics, 77, page (143-149)
Publication Publié, 2017-11-01

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Résumé :

This paper aims at showing how an ordering on claim amounts can influence finite-time ruin probabilities. Until now such a question was examined essentially for ultimate ruin probabilities. Over a finite horizon, a general approach does not seem possible but the study is conducted under different sets of conditions. This primarily covers the cases where the initial reserve is null or large