Journal of Applied Probability

On the De Vylder and Goovaerts conjecture about ruin for equalized claims

C. Y. Robert

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Abstract

In ruin theory, the conjecture given in De Vylder and Goovaerts (2000) is an open problem about the comparison of the finite time ruin probability in a homogeneous risk model and the corresponding ruin probability evaluated in the associated model with equalized claim amounts. In this paper we consider a weaker version of the conjecture and show that the integrals of the ruin probabilities with respect to the initial risk reserve are uniformly comparable.

Article information

Source
J. Appl. Probab., Volume 51, Number 3 (2014), 874-879.

Dates
First available in Project Euclid: 5 September 2014

Permanent link to this document
https://projecteuclid.org/euclid.jap/1409932679

Digital Object Identifier
doi:10.1239/jap/1409932679

Mathematical Reviews number (MathSciNet)
MR3256232

Zentralblatt MATH identifier
1329.60119

Subjects
Primary: 60G50: Sums of independent random variables; random walks 60G09: Exchangeability
Secondary: 60K30: Applications (congestion, allocation, storage, traffic, etc.) [See also 90Bxx]

Keywords
De Vylder and Goovaerts' conjecture homogeneous risk model finite time ruin probability stochastic dominance

Citation

Robert, C. Y. On the De Vylder and Goovaerts conjecture about ruin for equalized claims. J. Appl. Probab. 51 (2014), no. 3, 874--879. doi:10.1239/jap/1409932679. https://projecteuclid.org/euclid.jap/1409932679


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