A Note on the Convexity of Ruin Probabilities

Conditions for the convexity of compound geometric tails and compound geometric convolution tails are established. The results are then applied to analyze the convexity of the ruin probability and the Laplace transform of the time to ruin in the classical compound Poisson risk model with and without diffusion. An application to an optimization problem is given

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Year of publication:	2017
Authors:	Landriault, David
Other Persons:	Li, Bin (contributor) ; Loke, Sooie-Hoe (contributor) ; Willmot, Gordon (contributor) ; Xu, Di (contributor)
Publisher:	[2017]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Wahrscheinlichkeitsrechnung \| Probability theory \| Risiko \| Risk \| Risikomodell \| Risk model

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Extent:	1 Online-Ressource (12 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 1, 2017 erstellt
Other identifiers:	10.2139/ssrn.2921389 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012962574