A note on the convexity of ruin probabilities
Department or Administrative Unit
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.
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
Insurance: Mathematics and Economics
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