On the total operating costs up to default in a renewal risk model
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.
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- 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, vol. 34(1), pages 97-107, February.
- Li, Shuanming & Garrido, Jose, 2004. "On a class of renewal risk models with a constant dividend barrier," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 691-701, December.
- 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, vol. 37(2), pages 324-334, October.
- Li, Shuanming & Garrido, Jose, 2004. "On ruin for the Erlang(n) risk process," Insurance: Mathematics and Economics, Elsevier, vol. 34(3), pages 391-408, June.
- Avanzi, Benjamin & U. Gerber, Hans & S.W. Shiu, Elias, 2007. "Optimal dividends in the dual model," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 111-123, July.
- Jacobsen, Martin, 2003. "Martingales and the distribution of the time to ruin," Stochastic Processes and their Applications, Elsevier, vol. 107(1), pages 29-51, September.
- Willmot, Gordon E., 2004. "A note on a class of delayed renewal risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 34(2), pages 251-257, April.
- Lin, X.Sheldon & Pavlova, Kristina P., 2006. "The compound Poisson risk model with a threshold dividend strategy," Insurance: Mathematics and Economics, Elsevier, vol. 38(1), pages 57-80, February.
- Albrecher, Hansjorg & Boxma, Onno J., 2005. "On the discounted penalty function in a Markov-dependent risk model," Insurance: Mathematics and Economics, Elsevier, vol. 37(3), pages 650-672, December.
- 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, vol. 33(3), pages 551-566, December.
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