关于破产概率的凸性的注记

ERN: Discrete Regression & Qualitative Choice Models (Single) (Topic) Pub Date : 2017-02-01 DOI:10.2139/ssrn.2921389

D. Landriault, Bin Li, Sooie-Hoe Loke, G. Willmot, Di Xu

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引用次数: 0

摘要

建立了复合几何尾和复合几何卷积尾的凸性条件。将所得结果应用于有扩散和无扩散的经典复合泊松风险模型中破产概率和破产时间的拉普拉斯变换的凸性分析。给出了一个优化问题的应用。

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A Note on the Convexity of Ruin Probabilities

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.

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ERN: Discrete Regression & Qualitative Choice Models (Single) (Topic)

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