Inequalities for the ruin probability in a controlled discrete-time risk process

被引：11

作者：

Diasparra, M. ^{[1
]}

Romera, R. ^{[2
]}

机构：

[1] Univ Simon Bolivar, Dept Pure & Appl Math, Caracas 1080, Venezuela

[2] Univ Carlos III Madrid, Dept Stat, E-28903 Getafe, Spain

来源：

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2010年 / 204卷 / 03期

关键词：

Risk process; Ruin probability; Proportional reinsurance; Lundberg's inequality; OPTIMAL INVESTMENT;

D O I：

10.1016/j.ejor.2009.11.015

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

Ruin probabilities in a controlled discrete-time risk process with a Markov chain interest are studied. To reduce the risk of ruin there is a possibility to reinsure a part or the whole reserve. Recursive and integral equations for ruin probabilities are given. Generalized Lundberg inequalities for the ruin probabilities are derived given a constant stationary policy. The relationships between these inequalities are discussed. To illustrate these results some numerical examples are included. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：496 / 504

页数：9

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