Ratio Monotonicity for Tail Probabilities in the Renewal Risk Model
نویسندگان
چکیده
A renewal model in risk theory is considered, where H(u, y) is the tail of the distribution of the deficit at ruin with initial surplus u and F(y) is the tail of the ladder height distribution. Conditions are derived under which the ratio H(u, y)/F(u + y) is nondecreasing in u for any y ≥ 0. In particular, it is proven that if the ladder height distribution is stable and DFR or phase type, then the above ratio is nondecreasing in u. As a byproduct of this monotonicity, an upper bound and an asymptotic result for H(u, y) are derived. Examples are given to illustrate the monotonicity results.
منابع مشابه
Extension of Some Classical Results on Ruin Probability to Delayed Renewal Model
Embrechts and Veraverbeke investigated the renewal risk model and gave a tail equivalence relationship of the ruin probabilities ψ(x) under the assumption that the claim size is heavy-tailed, which is regarded as a classical result in the context of extremal value theory. In this note we extend this result to the delayed renewal risk model.
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