In this paper we define two stochastic processes that are smaller and greater in usual stochastic order than the Sparre Andersen process. We derive, as a consequence, upper and lower bounds of its marginal distributions, and of the distributions of its first passage times above fixed thresholds. We also present a generalization of these stochastic bounds for risk processes perturbed by diffusion.
Stochastic Bounds for the Sparre Andersen Process
ZUCCA, CRISTINA
2005-01-01
Abstract
In this paper we define two stochastic processes that are smaller and greater in usual stochastic order than the Sparre Andersen process. We derive, as a consequence, upper and lower bounds of its marginal distributions, and of the distributions of its first passage times above fixed thresholds. We also present a generalization of these stochastic bounds for risk processes perturbed by diffusion.
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