A note on the convexity of ruin probabilities

DOI10.1016/j.insmatheco.2017.02.004zbMath1394.91221OpenAlexW2588719171MaRDI QIDQ2397848

Sooie-Hoe Loke, David Landriault, Bin Li, 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

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

Mathematics Subject Classification ID

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

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