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Ruin probabilities in a finite-horizon risk model with investment and reinsurance


  • Romera, Rosario
  • Runggaldier, Wolfgang


A finite horizon insurance model is studied where the risk/reserve process can be controlled by reinsurance and investment in the financial market. Obtaining explicit optimal solutions for the minimizing ruin probability problem is a difficult task. Therefore, we consider an alternative method commonly used in ruin theory, which consists in deriving inequalities that can be used to obtain upper bounds for the ruin probabilities and then choose the control to minimize the bound. We finally specialize our results to the particular, but relevant, case of exponentially distributed claims and compare for this case our bounds with the classical Lundberg bound.

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  • Romera, Rosario & Runggaldier, Wolfgang, 2010. "Ruin probabilities in a finite-horizon risk model with investment and reinsurance," DES - Working Papers. Statistics and Econometrics. WS ws103721, Universidad Carlos III de Madrid. Departamento de Estadística.
  • Handle: RePEc:cte:wsrepe:ws103721

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    1. González-Rivera, Gloria & Senyuz, Zeynep & Yoldas, Emre, 2011. "Autocontours: Dynamic Specification Testing," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 186-200.
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