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Supermodular Comparison of Time-to-Ruin Random Vectors

Author

Listed:
  • Michel Denuit

    (Université Catholique de Louvain)

  • Esther Frostig

    (University of Haifa)

  • Benny Levikson

    (University of Haifa)

Abstract

This paper studies time-to-ruin random vectors for multivariate risk processes. Two cases are considered: risk processes with independent increments and risk processes evolving in a common random environment (e.g., because they share the same economic conditions). As expected, increasing the dependence between the risk processes increases the dependence between their respective time-to-ruin random variables.

Suggested Citation

  • Michel Denuit & Esther Frostig & Benny Levikson, 2007. "Supermodular Comparison of Time-to-Ruin Random Vectors," Methodology and Computing in Applied Probability, Springer, vol. 9(1), pages 41-54, March.
    • Handle: RePEc:spr:metcap:v:9:y:2007:i:1:d:10.1007_s11009-006-9004-4
    DOI: 10.1007/s11009-006-9004-4
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    References listed on IDEAS

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    Cited by:

    1. Castañer, A. & Claramunt, M.M. & Lefèvre, C., 2013. "Survival probabilities in bivariate risk models, with application to reinsurance," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 632-642.
    2. Nicole Bäuerle & Anja Blatter & Alfred Müller, 2008. "Dependence properties and comparison results for Lévy processes," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 67(1), pages 161-186, February.

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