| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076192 | Insurance: Mathematics and Economics | 2017 | 6 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
David Landriault, Bin Li, Sooie-Hoe Loke, Gordon E. Willmot, Di Xu,