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Improved asymptotic upper bounds on the ruin capital in the Lundberg model of risk

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  • Malinovskii, Vsevolod K.

Abstract

This paper deals with ruin capital uα,t(c∣λ,μ) in the classical Lundberg model of risk. It is defined as the initial capital needed to keep the probability of ruin within finite time t equal to a predefined value α. Considered as a decreasing function of premium rate c, the ruin capital is shown to be convex (i.e., concave downward) for c>λ/μ and t sufficiently large. This observation is used to construct explicit upper bounds on the ruin capital.

Suggested Citation

  • Malinovskii, Vsevolod K., 2014. "Improved asymptotic upper bounds on the ruin capital in the Lundberg model of risk," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 301-309.
    • Handle: RePEc:eee:insuma:v:55:y:2014:i:c:p:301-309
    DOI: 10.1016/j.insmatheco.2013.12.004
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    References listed on IDEAS

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    1. Malinovskii, Vsevolod K., 2008. "Adaptive control strategies and dependence of finite time ruin on the premium loading," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 81-94, February.
    2. Malinovskii, Vsevolod K., 2013. "Level premium rates as a function of initial capital," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 370-380.
    3. Malinovskii, Vsevolod K., 2012. "Equitable solvent controls in a multi-period game model of risk," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 599-616.
    4. Malinovskii, Vsevolod K., 2014. "Annual intrinsic value of a company in a competitive insurance market," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 310-318.
    5. Malinovskii, Vsevolod K., 1998. "Non-Poissonian claims' arrivals and calculation of the probability of ruin," Insurance: Mathematics and Economics, Elsevier, vol. 22(2), pages 123-138, June.
    6. Malinovskii, Vsevolod K., 2013. "Rationale of underwriters’ pricing conduct on competitive insurance market," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 325-333.
    7. Malinovskii, Vsevolod K., 2008. "Risk theory insight into a zone-adaptive control strategy," Insurance: Mathematics and Economics, Elsevier, vol. 42(2), pages 656-667, April.
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    Cited by:

    1. Malinovskii, Vsevolod K. & Kosova, Ksenia O., 2014. "Simulation analysis of ruin capital in Sparre Andersen’s model of risk," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 184-193.
    2. Vsevolod K. Malinovskii, 2014. "Elementary Bounds on the Ruin Capital in a Diffusion Model of Risk," Risks, MDPI, vol. 2(3), pages 1-11, July.
    3. Malinovskii, Vsevolod K., 2014. "Annual intrinsic value of a company in a competitive insurance market," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 310-318.

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