A note on the convexity of ruin probabilities
Document Type
Article
Department or Administrative Unit
Mathematics
Publication Date
5-2017
Abstract
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.
Recommended Citation
Landriault, D., Li, B., Loke, S.-H., Willmot, G. E., & Xu, D. (2017). A note on the convexity of ruin probabilities. Insurance: Mathematics and Economics, 74, 1–6. https://doi.org/10.1016/j.insmatheco.2017.02.004
Journal
Insurance: Mathematics and Economics
Copyright
© 2017 Elsevier B.V. All rights reserved.
COinS
Comments
This article was originally published in Insurance: Mathematics and Economics. The full-text article from the publisher can be found here.
Due to copyright restrictions, this article is not available for free download from ScholarWorks @ CWU.