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On orderings and bounds in a generalized Sparre Andersen risk model

Author

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  • Eric C. K. Cheung
  • David Landriault
  • Gordon E. Willmot
  • Jae‐Kyung Woo

Abstract

A generalization of the Gerber–Shiu function proposed by (Cheung et al., Scand. Actuarial J., in press, 2010) is used to derive some ordering properties for certain ruin‐related quantities in a Sparre Andersen type risk model. Additional bounds and/or refinements can be obtained by further assuming that the claim size and the interclaim time distributions possess certain reliability properties. Finally, numerical examples are considered to compare the exact solution to the bounds. Copyright © 2010 John Wiley & Sons, Ltd.

Suggested Citation

  • Eric C. K. Cheung & David Landriault & Gordon E. Willmot & Jae‐Kyung Woo, 2011. "On orderings and bounds in a generalized Sparre Andersen risk model," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 27(1), pages 51-60, January.
    • Handle: RePEc:wly:apsmbi:v:27:y:2011:i:1:p:51-60
    DOI: 10.1002/asmb.837
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