A note on the convexity of ruin probabilities

Publication date: Available online 14 February 2017
Source:Insurance: Mathematics and Economics
Author(s): David Landriault, Bin Li, Sooie-Hoe Loke, Gordon E. Willmot, Di Xu
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.