Supermodular comparison of time-to-ruin random vectors

Denuit, Michel;Frostig, Esther;Levikson, Benny
(2007) Methodology and Computing in Applied Probability — Vol. 9, n° 1, p. 41-54 (2007)

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Authors
  • Denuit, MichelUCLouvain
    Author
  • Frostig, Esther
    Author
  • Levikson, Benny
    Author
Abstract
This paper studies time-to-ruin random vectors for multivariate risk processes. Two cases are considered: risk processes with independent increments and risk processes evolving in a common random environment (e.g., because they share the same economic conditions). As expected, increasing the dependence between the risk processes increases the dependence between their respective time-to-ruin random variables.
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Denuit, M., Frostig, E., & Levikson, B. (2007). Supermodular comparison of time-to-ruin random vectors. Methodology and Computing in Applied Probability, 9(1), 41-54. https://doi.org/10.1007/s11009-006-9004-4 (Original work published 2007)