Advanced Search
MyIDEAS: Login to save this article or follow this journal

On the total operating costs up to default in a renewal risk model

Contents:

Author Info

  • Feng, Runhuan
Registered author(s):

    Abstract

    The paper proposes a new approach to study a general class of ruin-related quantities in the context of a renewal risk model. While the classical approaches in Sparre Andersen models have their own merits, the approach presented in this paper has its advantages from the following perspectives. (1) The underlying surplus process has the flexibility to reflect a broad range of scenarios for surplus growth including dividend policies and interest returns. (2) The solution method provides a general framework to unify a great variety of existing ruin-related quantities such as Gerber-Shiu functions and the expected present value of dividends paid up to ruin, and facilitates derivations of new ruin-related quantities such as the expected present value of total claim costs up to ruin, etc. In the end, many specific examples are explored to demonstrate its application in renewal risk models.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.sciencedirect.com/science/article/B6V8N-4WXHBPX-1/2/d78fe18f2a396ad8e4129323f439b011
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Elsevier in its journal Insurance: Mathematics and Economics.

    Volume (Year): 45 (2009)
    Issue (Month): 2 (October)
    Pages: 305-314

    as in new window
    Handle: RePEc:eee:insuma:v:45:y:2009:i:2:p:305-314

    Contact details of provider:
    Web page: http://www.elsevier.com/locate/inca/505554

    Related research

    Keywords: Ruin theory Gerber-Shiu function Phase-type distribution Piecewise-deterministic Markov process Total operating costs up to default;

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Albrecher, Hansjorg & Claramunt, M.Merce & Marmol, Maite, 2005. "On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(n) interclaim times," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 37(2), pages 324-334, October.
    2. Lin, X.Sheldon & Pavlova, Kristina P., 2006. "The compound Poisson risk model with a threshold dividend strategy," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 38(1), pages 57-80, February.
    3. Avanzi, Benjamin & U. Gerber, Hans & S.W. Shiu, Elias, 2007. "Optimal dividends in the dual model," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 41(1), pages 111-123, July.
    4. Willmot, Gordon E., 2004. "A note on a class of delayed renewal risk processes," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 34(2), pages 251-257, April.
    5. Jacobsen, Martin, 2003. "Martingales and the distribution of the time to ruin," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 107(1), pages 29-51, September.
    6. Li, Shuanming & Garrido, Jose, 2004. "On a class of renewal risk models with a constant dividend barrier," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 35(3), pages 691-701, December.
    7. Sheldon Lin, X. & E. Willmot, Gordon & Drekic, Steve, 2003. "The classical risk model with a constant dividend barrier: analysis of the Gerber-Shiu discounted penalty function," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 33(3), pages 551-566, December.
    8. Li, Shuanming & Garrido, Jose, 2004. "On ruin for the Erlang(n) risk process," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 34(3), pages 391-408, June.
    9. Albrecher, Hansjorg & Boxma, Onno J., 2005. "On the discounted penalty function in a Markov-dependent risk model," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 37(3), pages 650-672, December.
    10. Dickson, David C. M. & Drekic, Steve, 2004. "The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 34(1), pages 97-107, February.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Cheung, Eric C.K., 2011. "A generalized penalty function in Sparre Andersen risk models with surplus-dependent premium," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 48(3), pages 384-397, May.
    2. Cheung, Eric C.K., 2013. "Moments of discounted aggregate claim costs until ruin in a Sparre Andersen risk model with general interclaim times," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 53(2), pages 343-354.
    3. Cheung, Eric C.K. & Feng, Runhuan, 2013. "A unified analysis of claim costs up to ruin in a Markovian arrival risk model," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 53(1), pages 98-109.
    4. Feng, Runhuan, 2011. "An operator-based approach to the analysis of ruin-related quantities in jump diffusion risk models," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 48(2), pages 304-313, March.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:45:y:2009:i:2:p:305-314. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.