IDEAS home Printed from https://ideas.repec.org/a/eee/insuma/v127y2026ics0167668725001519.html

A complete proof of the De Vylder and Goovaerts conjecture for homogeneous risk models

Author

Listed:
  • Kim, Bara
  • Kim, Jeongsim
  • Kim, Jerim

Abstract

De Vylder and Goovaerts (2000) conjectured that the finite-time ruin probability in a homogeneous risk model is greater than or equal to the corresponding ruin probability in an associated model with equalized claim amounts. This conjecture holds provided that the conjecture asserting that the same inequality holds for the conditional finite-time ruin probabilities, conditioned on n claims occurring during the finite time, for all n ≥ 1, is true. They proved the conjecture for n=1 and n=2, but left the case n ≥ 3 as an open problem. Kim et al. (2021) resolved the case n=3. In this paper, we completely resolve the conjecture for all n.

Suggested Citation

  • Kim, Bara & Kim, Jeongsim & Kim, Jerim, 2026. "A complete proof of the De Vylder and Goovaerts conjecture for homogeneous risk models," Insurance: Mathematics and Economics, Elsevier, vol. 127(C).
    • Handle: RePEc:eee:insuma:v:127:y:2026:i:c:s0167668725001519
    DOI: 10.1016/j.insmatheco.2025.103205
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167668725001519
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.insmatheco.2025.103205?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Keywords

    ;
    ;
    ;

    JEL classification:

    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:127:y:2026:i:c:s0167668725001519. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.