Inequalities for the Ruin Probability in a Controlled Discrete-Time Risk Process Articles uri icon

publication date

  • August 2010

start page

  • 496

end page

  • 504

issue

  • 3

volume

  • 204

International Standard Serial Number (ISSN)

  • 0377-2217

Electronic International Standard Serial Number (EISSN)

  • 1872-6860

abstract

  • Ruin probabilities in a controlled discrete-time risk process with a Markov chain interest are studied. To reduce the risk of ruin there is a possibility to reinsure a part or the whole reserve. Recursive and
    integral equations for ruin probabilities are given. Generalized
    Lundberg inequalities for the ruin probabilities are derived given a
    constant stationary policy. The relationships between these inequalities
    are discussed. To illustrate these results some numerical examples are
    included.