A note on the convexity of ruin probabilities

Authors

David Landriault, University of Waterloo
Bin Li, University of Waterloo
Sooie-Hoe Loke, Central Washington UniversityFollow
Gordon E. Willmot, University of Waterloo
Di Xu, University of Nebraska - Lincoln

Department or Administrative Unit

Mathematics

Document Type

Article

Author Copyright

© 2017 Elsevier B.V. All rights reserved.

Publication Date

5-2017

Journal

Insurance: Mathematics and Economics

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.

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.

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