Inequalities for the ruin probability in a controlled discrete-time risk process
AbstractRuin 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.
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Bibliographic InfoArticle provided by Elsevier in its journal European Journal of Operational Research.
Volume (Year): 204 (2010)
Issue (Month): 3 (August)
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Web page: http://www.elsevier.com/locate/eor
Risk process Ruin probability Proportional reinsurance Lundberg's inequality;
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