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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This article is dedicated to the memory of our beloved friend Benjamin Zeev Levikson who passed away on July 16, 2005.
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Denuit, M., Frostig, E. & Levikson, B. Supermodular Comparison of Time-to-Ruin Random Vectors. Methodol Comput Appl Probab 9, 41–54 (2007). https://doi.org/10.1007/s11009-006-9004-4
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DOI: https://doi.org/10.1007/s11009-006-9004-4