Interest-Bearing Surlus Model with Liquid Reserves
AbstractWe consider a ruin model where the surplus process of an insurance company is constructed so that part of the current surplus is kept available at all times and the remaining part is invested. The former portion of the capital is called “liquid reserves.” In this paper, we study the expected discounted penalty function at ruin. First, we derive an integro-differential equation satisfied by the Gerber-Shiu function. Second, we apply Laplace transforms to the equation and reduce it to a first order linear differential equation for the function in question. Finally, we find an explicit form of the Gerber-Shiu function by considering exponential claims.
Download InfoIf 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.
Bibliographic InfoArticle provided by Western Risk and Insurance Association in its journal Journal of Insurance Issues.
Volume (Year): 33 (2010)
Issue (Month): 2 ()
Contact details of provider:
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral 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: (James Barrese).
If references are entirely missing, you can add them using this form.