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Supermodular Order and Lundberg Exponents

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  • Alessandro Juri

Abstract

A risk process where the claims are sums of dependent random variables is considered. Using the supermodular order the influence, the dependence has on the infinite- and finite-time Lundberg exponent is investigated and monotonicity results are obtained.

Suggested Citation

  • Alessandro Juri, 2002. "Supermodular Order and Lundberg Exponents," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2002(1), pages 17-36.
    • Handle: RePEc:taf:sactxx:v:2002:y:2002:i:1:p:17-36
    DOI: 10.1080/03461230110106200
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