A note on the convexity of ruin probabilities

DOI10.1016/J.INSMATHECO.2017.02.004MaRDI QIDQ2397848zbMATHOpenAlexFDO

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

zbMATH Keywords

resolventruin probabilityDFRIMRLlog-convexdefective renewal equationcompound geometricLaplace transform of time of ruin

Mathematics Subject Classification ID

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

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Cited in

(2)

• On the complete monotonicity of the compound geometric convolution with applications in risk theory
• A note on the adjustment coefficient in ruin theory

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