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

✍ Scribed by Jun Cai; José Garrido

Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
498 KB
Volume
23
Category
Article
ISSN
0167-6687

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✦ Synopsis

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.

📜 SIMILAR VOLUMES

Upper bounds for ruin probabilities in t
Upper bounds for ruin probabilities in two dependent risk models under rates of interest
✍ Dingjun Yao; Rongming Wang 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 104 KB

## Abstract In this article, we consider two discrete‐time risk models, in which dependent structures of the payments and the interest force are considered. Two autoregressive moving‐average (ARMA) models are introduced to model the premiums and rates of interest, and the claims are assumed to be i