A generalization of Gerber's inequality for ruin probabilities in risk-switching models

DOI10.1016/J.SPL.2017.06.001zbMath1415.91153OpenAlexW2624345266MaRDI QIDQ1687220

Marcin Rudź, Lestaw Gajek

Publication date: 22 December 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2017.06.001

zbMATH Keywords

Markov chainsruin probabilitiesGerber's inequalityrisk operatorsrisk-switching models

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (5)

Deficit distributions at ruin in a regime-switching Sparre Andersen model ⋮ Banach contraction principle and ruin probabilities in regime-switching models ⋮ General methods for bounding multidimensional ruin probabilities in regime-switching models ⋮ Finite-horizon ruin probabilities in a risk-switching Sparre Andersen model ⋮ Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model

Cites Work

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• Sharp approximations of ruin probabilities in the discrete time models
• Use of differential and integral inequalities to bound ruin and queuing probabilities
• Applied Probability and Queues
• Risk theory in a Markovian environment

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