On a class of dependent Sparre Andersen risk models and a bailout application
Author
Abstract
Suggested Citation
DOI: 10.1016/j.insmatheco.2016.08.001
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Nie, Ciyu & Dickson, David C. M. & Li, Shuanming, 2011. "Minimizing the ruin probability through capital injections," Annals of Actuarial Science, Cambridge University Press, vol. 5(2), pages 195-209, September.
- Dickson, David C.M. & Waters, Howard R., 2004. "Some Optimal Dividends Problems," ASTIN Bulletin, Cambridge University Press, vol. 34(1), pages 49-74, May.
- Ivanovs, Jevgenijs & Boxma, Onno, 2015. "A bivariate risk model with mutual deficit coverage," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 126-134.
- Willmot, Gordon E. & Woo, Jae-Kyung, 2012. "On the analysis of a general class of dependent risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 134-141.
- D'Auria, Bernardo & Kella, Offer & Ivanovs, Jevgenijs & Mandjes, Michel, 2010. "First passage of a Markov additive process and generalized Jordan chains," DES - Working Papers. Statistics and Econometrics. WS ws103923, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Eisenberg, Julia & Krühner, Paul, 2018. "The impact of negative interest rates on optimal capital injections," Insurance: Mathematics and Economics, Elsevier, vol. 82(C), pages 1-10.
- Muhsin Tamturk & Sergey Utev, 2019. "Optimal Reinsurance via Dirac-Feynman Approach," Methodology and Computing in Applied Probability, Springer, vol. 21(2), pages 647-659, June.
- Teng, Ye & Zhang, Zhimin, 2023. "On a time-changed Lévy risk model with capital injections and periodic observation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 214(C), pages 290-314.
- Hansjoerg Albrecher & Jevgenijs Ivanovs, 2013. "Power identities for L\'evy risk models under taxation and capital injections," Papers 1310.3052, arXiv.org, revised Mar 2014.
- Julia Eisenberg & Paul Kruhner, 2016. "The Impact of Negative Interest Rates on Optimal Capital Injections," Papers 1612.06654, arXiv.org.
- Zhang, Aili & Li, Shuanming & Wang, Wenyuan, 2023. "A scale function based approach for solving integral-differential equations in insurance risk models," Applied Mathematics and Computation, Elsevier, vol. 450(C).
- Ramsden, Lewis & Papaioannou, Apostolos D., 2019. "Ruin probabilities under capital constraints," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 273-282.
- Liang, Zhibin & Young, Virginia R., 2012. "Dividends and reinsurance under a penalty for ruin," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 437-445.
- Bladt, Mogens & Ivanovs, Jevgenijs, 2021. "Fluctuation theory for one-sided Lévy processes with a matrix-exponential time horizon," Stochastic Processes and their Applications, Elsevier, vol. 142(C), pages 105-123.
- Sandro Franceschi & Kilian Raschel, 2022. "A dual skew symmetry for transient reflected Brownian motion in an orthant," Queueing Systems: Theory and Applications, Springer, vol. 102(1), pages 123-141, October.
- Xu, Ran & Woo, Jae-Kyung, 2020. "Optimal dividend and capital injection strategy with a penalty payment at ruin: Restricted dividend payments," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 1-16.
- Zhou, Zhou & Jin, Zhuo, 2020. "Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time," Insurance: Mathematics and Economics, Elsevier, vol. 94(C), pages 100-108.
- Li, Shuanming & Dickson, David C.M., 2006. "The maximum surplus before ruin in an Erlang(n) risk process and related problems," Insurance: Mathematics and Economics, Elsevier, vol. 38(3), pages 529-539, June.
- Vierkötter, Matthias & Schmidli, Hanspeter, 2017. "On optimal dividends with exponential and linear penalty payments," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 265-270.
- Lee, Wing Yan & Willmot, Gordon E., 2014. "On the moments of the time to ruin in dependent Sparre Andersen models with emphasis on Coxian interclaim times," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 1-10.
- Li, Shuanming & Lu, Yi, 2009. "The distribution of total dividend payments in a Sparre Andersen model," Statistics & Probability Letters, Elsevier, vol. 79(9), pages 1246-1251, May.
- Boxma, Onno & Frostig, Esther & Perry, David & Yosef, Rami, 2017. "A state dependent reinsurance model," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 170-181.
- Landriault, David & Shi, Tianxiang, 2015. "Occupation times in the MAP risk model," Insurance: Mathematics and Economics, Elsevier, vol. 60(C), pages 75-82.
- I. Venkat Appal Raju & S. Ramasubramanian, 2016. "Risk Diversifying Treaty Between Two Companies with Only One in Insurance Business," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 78(2), pages 183-214, November.
- Feng, Runhuan & Shimizu, Yasutaka, 2014. "Potential measures for spectrally negative Markov additive processes with applications in ruin theory," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 11-26.
More about this item
Keywords
Bailout strategy; Phase-type distribution; Ruin probability; Sparre Andersen dependence structure; Busy period;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:insuma:v:71:y:2016:i:c:p:27-39. See general information about how to correct material in RePEc.
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 CitEc recognized a bibliographic reference but did not link an item in RePEc 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/inca/505554 .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.