A note on the convexity of ruin probabilities

DOI10.1016/J.INSMATHECO.2017.02.004zbMATH Open1394.91221OpenAlexW2588719171MaRDI QIDQ2397848FDOQ2397848

Authors: David Landriault, Bin Li, Sooie-Hoe Loke, Di Xu, Gordon E. Willmot

Publication date: 24 May 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.02.004

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resolvent ruin probability DFR IMRL log-convex defective renewal equation compound geometric Laplace transform of time of ruin

Mathematics Subject Classification ID

Applications of renewal theory (reliability, demand theory, etc.) (60K10) Optimal stochastic control (93E20)

Cites Work

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Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
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Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
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Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
On Volterra integral equations with nonnegative integrable resolvents
Compact finite difference method for integro-differential equations
Stochastic ordering and dependence in applied probability
Convexity and smoothness of scale functions and de Finetti's control problem
DFR property of first-passage times and its preservation under geometric compounding
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On the concavity of the infinitesimal renewal function
A pair of optimal reinsurance-investment strategies in the two-sided exit framework
On the complete monotonicity of the compound geometric convolution with applications in risk theory
A higher-order finite difference method for solving a system of integro-differential equations
On the concavity of the waiting-time distribution in some GI/G/1 queues
Feller-Ross-Approximation für Summenverteilungen

Cited In (1)

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