Upper bounds for ruin probabilities under model uncertainty

Zhongyang Sun

Communications in Statistics - Theory and Methods, 2019, vol. 48, issue 18, 4511-4527

Abstract: In this paper, we investigate some ruin problems for risk models that contain uncertainties on both claim frequency and claim size distribution. The problems naturally lead to the evaluation of ruin probabilities under the so-called G-expectation framework. We assume that the risk process is described as a class of G-compound Poisson process, a special case of the G-Lévy process. By using the exponential martingale approach, we obtain the upper bounds for the two-sided ruin probability as well as the ruin probability involving investment. Furthermore, we derive the optimal investment strategy under the criterion of minimizing this upper bound. Finally, we conclude that the upper bound in the case with investment is less than or equal to the case without investment.

Date: 2019
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DOI: 10.1080/03610926.2018.1491991

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