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Conference Paper: On orderings and bounds in a generalized Sparre Andersen risk model

TitleOn orderings and bounds in a generalized Sparre Andersen risk model
Authors
Cheung, ECKLandriault, DWillmot, GEWoo, JK
Keywordsclaim causing ruin
Gerber-Shiu function
last interclaim time
last ladder height
NBU
NWU
Sparre Andersen risk model
stochastic ordering
Issue Date2011
PublisherJohn Wiley & Sons Ltd. The Journal's web site is located at http://www.interscience.wiley.com/jpages/1524-1904/
Citation
Applied Stochastic Models In Business And Industry, 2011, v. 27 n. 1, p. 51-60 How to Cite?
DOI: http://dx.doi.org/10.1002/asmb.837
AbstractA 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. © 2010 John Wiley & Sons, Ltd.
Persistent Identifierhttp://hdl.handle.net/10722/159072
ISSN
1524-1904
2023 Impact Factor: 1.3
2023 SCImago Journal Rankings: 0.452
ISI Accession Number ID
WOS:000287672400008
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorCheung, ECKen_HK
dc.contributor.authorLandriault, Den_HK
dc.contributor.authorWillmot, GEen_HK
dc.contributor.authorWoo, JKen_HK
dc.date.accessioned2012-08-08T09:06:41Z-
dc.date.available2012-08-08T09:06:41Z-
dc.date.issued2011en_HK
dc.identifier.citationApplied Stochastic Models In Business And Industry, 2011, v. 27 n. 1, p. 51-60en_US
dc.identifier.issn1524-1904en_HK
dc.identifier.urihttp://hdl.handle.net/10722/159072-
dc.description.abstractA 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. © 2010 John Wiley & Sons, Ltd.en_HK
dc.languageengen_US
dc.publisherJohn Wiley & Sons Ltd. The Journal's web site is located at http://www.interscience.wiley.com/jpages/1524-1904/en_HK
dc.relation.ispartofApplied Stochastic Models in Business and Industryen_HK
dc.subjectclaim causing ruinen_HK
dc.subjectGerber-Shiu functionen_HK
dc.subjectlast interclaim timeen_HK
dc.subjectlast ladder heighten_HK
dc.subjectNBUen_HK
dc.subjectNWUen_HK
dc.subjectSparre Andersen risk modelen_HK
dc.subjectstochastic orderingen_HK
dc.titleOn orderings and bounds in a generalized Sparre Andersen risk modelen_HK
dc.typeConference_Paperen_HK
dc.identifier.emailCheung, ECK: eckc@hku.hken_HK
dc.identifier.emailWoo, JK: jkwoo@hku.hken_HK
dc.identifier.authorityCheung, ECK=rp01423en_HK
dc.identifier.authorityWoo, JK=rp01623en_HK
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.doi10.1002/asmb.837en_HK
dc.identifier.scopuseid_2-s2.0-79951889522en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-79951889522&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume27en_HK
dc.identifier.issue1en_HK
dc.identifier.spage51en_HK
dc.identifier.epage60en_HK
dc.identifier.eissn1526-4025-
dc.identifier.isiWOS:000287672400008-
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridCheung, ECK=24461272100en_HK
dc.identifier.scopusauthoridLandriault, D=23479800100en_HK
dc.identifier.scopusauthoridWillmot, GE=6603756372en_HK
dc.identifier.scopusauthoridWoo, JK=26642855300en_HK
dc.identifier.issnl1524-1904-

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