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Some Stochastic Orders over an Interval with Applications

Authors :
Lazaros Kanellopoulos
Source :
Risks, Vol 11, Iss 9, p 161 (2023)
Publication Year :
2023
Publisher :
MDPI AG, 2023.

Abstract

In this article, we study stochastic orders over an interval. Mainly, we focus on orders related to the Laplace transform. The results are then applied to obtain a bound for heavy-tailed distributions and are illustrated by some examples. We also indicate how these ordering relationships can be adapted to the classical risk model in order to derive a moment bound for ruin probability. Finally, we compare it with other existing bounds.

Details

Language :
English
ISSN :
22279091
Volume :
11
Issue :
9
Database :
Directory of Open Access Journals
Journal :
Risks
Publication Type :
Academic Journal
Accession number :
edsdoj.8adfff58ca464cedaaddc906148a3bac
Document Type :
article
Full Text :
https://doi.org/10.3390/risks11090161