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 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 InfoPaper provided by Universidad Carlos III, Departamento de Estadística y Econometría in its series Statistics and Econometrics Working Papers with number ws093513.
Date of creation: Jun 2009
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Risk process; Ruin probability; Proportional reinsurance; Lundberg`s;
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