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- W3006762436 abstract "The De Vylder and Goovaerts conjecture is an open problem in risk theory, stating that the finite time ruin probability in a standard risk model is greater or equal to the corresponding ruin probability evaluated in an associated model with equalized claim amounts. Equalized means here that the jump sizes of the associated model are equal to the average jump in the initial model between 0 and a terminal time T. In this paper, we consider the diffusion approximations of both the standard risk model and its associated risk model. We prove that the associated model, when conveniently renor-malized, converges in distribution to a Gaussian process satisfying a simple SDE. We then compute the probability that this diffusion hits the level 0 before time T and compare it with the same probability for the diffusion approximation for the standard risk model. We conclude that the De Vylder and Goovaerts conjecture holds true for the diffusion limits." @default.
- W3006762436 created "2020-03-06" @default.
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- W3006762436 date "2018-10-04" @default.
- W3006762436 modified "2023-09-27" @default.
- W3006762436 title "The De Vylder-Goovaerts conjecture holds true within the diffusion limit" @default.
- W3006762436 hasPublicationYear "2018" @default.
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