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

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  • Diasparra, Maikol
  • Romera, Rosario

Abstract

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.

Suggested Citation

  • 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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    References listed on IDEAS

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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.
    2. Dickson, D. C. M., 2001. "Lundberg Approximations for Compound Distributions with Insurance Applications. By G. E. Willmot and X. S. Lin. (Springer, 2000)," British Actuarial Journal, Cambridge University Press, vol. 7(4), pages 690-691, October.
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    Cited by:

    1. Phung Duy Quang, 2017. "Upper Bounds for Ruin Probability in a Controlled Risk Process under Rates of Interest with Homogenous Markov Chains," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 6(3), pages 1-4.

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