De Vylder and Goovaerts' conjecture on homogeneous risk models with equalized claim amounts
- Authors
- Kim, Bara; Kim, Jeongsim; Kim, Jerim
- Issue Date
- 11월-2021
- Publisher
- ELSEVIER
- Keywords
- De Vylder and Goovaerts' conjecture; Homogeneous risk model; Order statistics; Risk reserve process; Ruin probability
- Citation
- INSURANCE MATHEMATICS & ECONOMICS, v.101, pp.186 - 201
- Indexed
- SCIE
SSCI
SCOPUS
- Journal Title
- INSURANCE MATHEMATICS & ECONOMICS
- Volume
- 101
- Start Page
- 186
- End Page
- 201
- URI
- https://scholar.korea.ac.kr/handle/2021.sw.korea/135925
- DOI
- 10.1016/j.insmatheco.2021.07.007
- ISSN
- 0167-6687
- Abstract
- De Vylder and Goovaerts (2000) made a conjecture on the comparison of the finite time ruin probability in a homogeneous risk model and the corresponding ruin probability in an associated model with equalized claim amounts. The conjecture, however, remains an open problem. In this paper, we provide a conjecture that is stronger than De Vylder and Goovaerts' conjecture and also provide sufficient conditions for the conjectures, which are more mathematically tractable than De Vylder and Goovaerts' conjecture and thus easier to work with. By using the sufficient conditions for the conjectures, we solve De Vylder and Goovaerts' conjecture when n = 3, where n is the number of claims in the finite time. (C) 2021 Elsevier B.V. All rights reserved.
- Files in This Item
- There are no files associated with this item.
- Appears in
Collections - College of Science > Department of Mathematics > 1. Journal Articles
![qrcode](https://api.qrserver.com/v1/create-qr-code/?size=55x55&data=https://scholar.korea.ac.kr/handle/2021.sw.korea/135925)
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.