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Upper bounds for ruin probabilities under model uncertainty

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  • Zhongyang Sun

Abstract

In this paper, we investigate some ruin problems for risk models that contain uncertainties on both claim frequency and claim size distribution. The problems naturally lead to the evaluation of ruin probabilities under the so-called G-expectation framework. We assume that the risk process is described as a class of G-compound Poisson process, a special case of the G-Lévy process. By using the exponential martingale approach, we obtain the upper bounds for the two-sided ruin probability as well as the ruin probability involving investment. Furthermore, we derive the optimal investment strategy under the criterion of minimizing this upper bound. Finally, we conclude that the upper bound in the case with investment is less than or equal to the case without investment.

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  • Zhongyang Sun, 2019. "Upper bounds for ruin probabilities under model uncertainty," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 48(18), pages 4511-4527, September.
    • Handle: RePEc:taf:lstaxx:v:48:y:2019:i:18:p:4511-4527
    DOI: 10.1080/03610926.2018.1491991
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    Cited by:

    1. Tautvydas Kuras & Jonas Sprindys & Jonas Šiaulys, 2020. "Martingale Approach to Derive Lundberg-Type Inequalities," Mathematics, MDPI, vol. 8(10), pages 1-18, October.

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