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Ordering ruin probabilities for dependent claim streams

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  • Frostig, Esther

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  • Frostig, Esther, 2003. "Ordering ruin probabilities for dependent claim streams," Insurance: Mathematics and Economics, Elsevier, vol. 32(1), pages 93-114, February.
  • Handle: RePEc:eee:insuma:v:32:y:2003:i:1:p:93-114
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    References listed on IDEAS

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    1. Dhaene, Jan & Denuit, Michel, 1999. "The safest dependence structure among risks," Insurance: Mathematics and Economics, Elsevier, vol. 25(1), pages 11-21, September.
    2. Shaked, Moshe & Shanthikumar, J. George, 1997. "Supermodular Stochastic Orders and Positive Dependence of Random Vectors," Journal of Multivariate Analysis, Elsevier, vol. 61(1), pages 86-101, April.
    3. Kaas, R. & Van Heerwaarden, A. E., 1990. "Ordering of risks and ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 9(2-3), pages 177-178, September.
    4. Hu, Taizhong & Wu, Zhiqiang, 1999. "On dependence of risks and stop-loss premiums," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 323-332, May.
    5. Muller, Alfred, 1997. "Stop-loss order for portfolios of dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 21(3), pages 219-223, December.
    6. Cossette, Helene & Marceau, Etienne, 2000. "The discrete-time risk model with correlated classes of business," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 133-149, May.
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    Cited by:

    1. Yuen, Kam C. & Guo, Junyi & Wu, Xueyuan, 2006. "On the first time of ruin in the bivariate compound Poisson model," Insurance: Mathematics and Economics, Elsevier, vol. 38(2), pages 298-308, April.
    2. Stéphane Loisel & Claude Lefèvre, 2009. "Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities," Post-Print hal-00201377, HAL.
    3. Romain Biard & Claude Lefèvre & Stéphane Loisel, 2008. "Impact of correlation crises in risk theory," Post-Print hal-00308782, HAL.
    4. Biard, Romain & Lefèvre, Claude & Loisel, Stéphane, 2008. "Impact of correlation crises in risk theory: Asymptotics of finite-time ruin probabilities for heavy-tailed claim amounts when some independence and stationarity assumptions are relaxed," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 412-421, December.
    5. Hu, Taizhong & Xie, Chaode & Ruan, Lingyan, 2005. "Dependence structures of multivariate Bernoulli random vectors," Journal of Multivariate Analysis, Elsevier, vol. 94(1), pages 172-195, May.
    6. Kulik, Rafal & Szekli, Ryszard, 2005. "Dependence orderings for some functionals of multivariate point processes," Journal of Multivariate Analysis, Elsevier, vol. 92(1), pages 145-173, January.

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