Publication: Inequalities for the ruin probability in a controlled discrete-time risk process
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2009-06
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Abstract
Ruin probabilities in a controlled discrete-time risk process with a Markov
chain interest are studied. To reduce the risk 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.
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Keywords
Risk process, Ruin probability, Proportional reinsurance, Lundberg`s