Affiliation:
1. Department of Statistics and Insurance Science, University of Piraeus, 80 M. Karaoli & A. Dimitriou Str., 18534 Piraeus, Greece
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.
Subject
Strategy and Management,Economics, Econometrics and Finance (miscellaneous),Accounting
Reference31 articles.
1. Laplace ordering and its applications;Alzaid;Journal of Applied Probability,1991
2. Barlow, Richard E., and Proschan, Frank (1981). Statistical Theory of Reliability and Life Testing: Probability Models, To Begin With.
3. On non-monotonic ageing properties from the Laplace transform, with actuarial applications;Belzunce;Insurance: Mathematics and Economics,2007
4. Bhati, Deepesh, Calderin-Ojeda, Enrique, and Meenakshi, Mareeswaran (2019). A new heavy tailed class of distributions which includes Pareto. Risks, 7.
5. Laplace transforms as present value rules: A note;Buser;The Journal of Finance,1986