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Inequality extensions of Prabhu's formula in ruin theory

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  • De Vylder, F. E.
  • Goovaerts, M. J.

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  • De Vylder, F. E. & Goovaerts, M. J., 1999. "Inequality extensions of Prabhu's formula in ruin theory," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 249-271, May.
    • Handle: RePEc:eee:insuma:v:24:y:1999:i:3:p:249-271
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    References listed on IDEAS

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    1. Hans Gerber & Elias Shiu, 1998. "On the Time Value of Ruin," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(1), pages 48-72.
    2. Delbaen, F. & Haezendonck, J., 1985. "Inversed martingales in risk theory," Insurance: Mathematics and Economics, Elsevier, vol. 4(3), pages 201-206, July.
    3. Gerber, Hans U., 1988. "Mathematical fun with ruin theory," Insurance: Mathematics and Economics, Elsevier, vol. 7(1), pages 15-23, January.
    4. Gerber, Hans U., 1988. "Mathematical Fun with the Compound Binomial Process," ASTIN Bulletin, Cambridge University Press, vol. 18(2), pages 161-168, November.
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    Cited by:

    1. Goffard, Pierre-Olivier & Lefèvre, Claude, 2018. "Duality in ruin problems for ordered risk models," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 44-52.
    2. Pierre-Olivier Goffard & Claude Lefèvre, 2018. "Duality in ruin problems for ordered risk models," Post-Print hal-01398910, HAL.
    3. Pierre-Olivier Goffard, 2017. "Two-sided exit problems in the ordered risk model," Working Papers hal-01528204, HAL.
    4. Pierre-Olivier Goffard, 2019. "Two-sided exit problems in the ordered risk model," Post-Print hal-01528204, HAL.
    5. Lefèvre, Claude & Picard, Philippe, 2011. "A new look at the homogeneous risk model," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 512-519.
    6. De Vylder, F. & Goovaerts, M., 2000. "Homogeneous risk models with equalized claim amounts," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 223-238, May.
    7. Dimitrina S. Dimitrova & Zvetan G. Ignatov & Vladimir K. Kaishev, 2017. "On the First Crossing of Two Boundaries by an Order Statistics Risk Process," Risks, MDPI, vol. 5(3), pages 1-14, August.
    8. Kim, Bara & Kim, Jeongsim & Kim, Jerim, 2021. "De Vylder and Goovaerts' conjecture on homogeneous risk models with equalized claim amounts," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 186-201.
    9. Pierre-Olivier Goffard, 2019. "Two-Sided Exit Problems in the Ordered Risk Model," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 539-549, June.

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