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On the De Vylder and Goovaerts Conjecture About Ruin for Equalized Claims

Published online by Cambridge University Press:  30 January 2018

C. Y. Robert*
Affiliation:
Université de Lyon and Université Claude Bernard Lyon 1
*
Postal address: Institut de Science Financière et d'Assurances, Université Claude Bernard Lyon 1, 50 avenue Tony Garnier, 69366 Lyon Cedex 07, France. Email address: [email protected]
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Abstract

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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.

Type
Research Article
Copyright
© Applied Probability Trust 

References

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