Bounds for the Ruin Probability of a Discrete-Time Risk Process

DOI10.1239/jap/1238592119zbMath1159.91404OpenAlexW2051474594MaRDI QIDQ3621150

M. Diasparra, Rosario Romera

Publication date: 14 April 2009

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1238592119

zbMATH Keywords

risk processruin probabilityproportional reinsuranceLundberg's inequality

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items (5)

Moment and polynomial bounds for ruin-related quantities in risk theory ⋮ Minimizing Ruin Probabilities by Reinsurance and Investment: A Markovian Decision Approach ⋮ Ruin Probabilities in a Finite-Horizon Risk Model with Investment and Reinsurance ⋮ Risk- and value-based management for non-life insurers under solvency constraints ⋮ Inequalities for the ruin probability in a controlled discrete-time risk process

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Aspects of risk theory
• Lundberg approximations for compound distributions with insurance applications
• Markov control processes with randomized discounted cost
• Ruin probabilities with a Markov chain interest model
• Ruin probabilities with dependent rates of interest
• Average Optimality in Markov Control Processes via Discounted-Cost Problems and Linear Programming
• On Discrete-Time Dynamic Programming in Insurance: Exponential Utility and Minimizing the Ruin Probability

This page was built for publication: Bounds for the Ruin Probability of a Discrete-Time Risk Process