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

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

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• Use of differential and integral inequalities to bound ruin and queuing probabilities
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• Risk theory in a Markovian environment

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