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On orderings and bounds in a generalized Sparre Andersen risk model

✍ Scribed by Eric C. K. Cheung; David Landriault; Gordon E. Willmot; Jae-Kyung Woo

Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
209 KB
Volume
27
Category
Article
ISSN
1524-1904

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✦ Synopsis

Abstract

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 © 2010 John Wiley & Sons, Ltd.

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