A note on the convexity of ruin probabilities

David Landriault, Bin Li, Sooie-Hoe Loke, Gordon E. Willmot and Di Xu

Insurance: Mathematics and Economics, 2017, vol. 74, issue C, 1-6

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.

Keywords: Defective renewal equation; Compound geometric; Ruin probability; Laplace transform of the time of ruin; DFR; IMRL; Log-convex; Resolvent (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:74:y:2017:i:c:p:1-6

DOI: 10.1016/j.insmatheco.2017.02.004

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