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A note on the convexity of ruin probabilities

Author

Listed:
  • Landriault, David
  • Li, Bin
  • Loke, Sooie-Hoe
  • Willmot, Gordon E.
  • Xu, Di

Abstract

Conditions for the convexity of compound geometric tails and compound geometric convolution tails are established. The results are then applied to analyze the convexity of the ruin probability and the Laplace transform of the time to ruin in the classical compound Poisson risk model with and without diffusion. An application to an optimization problem is given.

Suggested Citation

  • Landriault, David & Li, Bin & Loke, Sooie-Hoe & Willmot, Gordon E. & Xu, Di, 2017. "A note on the convexity of ruin probabilities," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 1-6.
    • Handle: RePEc:eee:insuma:v:74:y:2017:i:c:p:1-6
    DOI: 10.1016/j.insmatheco.2017.02.004
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    References listed on IDEAS

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    1. Browne, S., 1995. "Optimal Investment Policies for a Firm with a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin," Papers 95-08, Columbia - Graduate School of Business.
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