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.
| Original language | English |
|---|---|
| Pages (from-to) | 186-201 |
| Number of pages | 16 |
| Journal | Insurance: Mathematics and Economics |
| Volume | 101 |
| DOIs | |
| State | Published - Nov 2021 |
Keywords
- De Vylder and Goovaerts' conjecture
- Homogeneous risk model
- Order statistics
- Risk reserve process
- Ruin probability
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