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


  • Diasparra, Maikol
  • Romera, Rosario


Ruin 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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  • Diasparra, Maikol & Romera, Rosario, 2009. "Inequalities for the ruin probability in a controlled discrete-time risk process," DES - Working Papers. Statistics and Econometrics. WS ws093513, Universidad Carlos III de Madrid. Departamento de Estadística.
  • Handle: RePEc:cte:wsrepe:ws093513

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    1. Cai, Jun & Dickson, David C.M., 2004. "Ruin probabilities with a Markov chain interest model," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 513-525, December.
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