Stochastic bounds for the Sparre Andersen process

被引：1

作者：

Pellerey, F

Zucca, C

机构：

[1] Politecn Torino, Dipartimento Matemat, I-10129 Turin, Italy

[2] Univ Turin, Dipartimento Matemat, I-10123 Turin, Italy

来源：

METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY | 2005年 / 7卷 / 02期

关键词：

risk reserve processes; Sparre Andersen process; usual stochastic order; convex order; positive dependence; bounds; risk processes perturbed by diffusion; ruin probabilities within finite time;

D O I：

10.1007/s11009-005-1484-0

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper we define two stochastic processes that are smaller and greater in usual stochastic order than the Sparre Andersen process. We derive, as a consequence, upper and lower bounds of its marginal distributions, and of the distributions of its first passage times above fixed thresholds. We also present a generalization of these stochastic bounds for risk processes perturbed by diffusion.

引用

页码：225 / 247

页数：23

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