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On the De Vylder and Goovaerts Conjecture About Ruin for Equalized Claims
Published online by Cambridge University Press: 30 January 2018
Abstract
In ruin theory, the conjecture given in De Vylder and Goovaerts (2000) is an open problem about the comparison of the finite time ruin probability in a homogeneous risk model and the corresponding ruin probability evaluated in the associated model with equalized claim amounts. In this paper we consider a weaker version of the conjecture and show that the integrals of the ruin probabilities with respect to the initial risk reserve are uniformly comparable.
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- Research Article
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- © Applied Probability Trust
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