Inequalities for the ruin probability in a controlled discrete-time risk process (Q2267650): Difference between revisions

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Inequalities for the ruin probability in a controlled discrete-time risk process
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    Inequalities for the ruin probability in a controlled discrete-time risk process (English)
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    1 March 2010
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    This paper studies an insurance model where risk process can be controlled by proportional reinsurance. The performance criterion is to choose reinsurance control strategies to bound the ruin probability of a discrete-time process with Markov chain interest. 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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    risk process
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    ruin probability
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    proportional reinsurance
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    Lundberg's inequality
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