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

M. Diasparra and R. Romera

European Journal of Operational Research, 2010, vol. 204, issue 3, 496-504

Abstract: 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.

Keywords: Risk; process; Ruin; probability; Proportional; reinsurance; Lundberg's; inequality (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:204:y:2010:i:3:p:496-504

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