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Two-sided exit problems in the ordered risk model

Author

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  • Pierre-Olivier Goffard

    (UC Santa Barbara - University of California [Santa Barbara] - UC - University of California)

Abstract

The insurance risk model in the presence of two horizontal absorbing barriers is considered. The lower barrier is the usual ruin barrier while the upper one corresponds to the dividend barrier. The distribution of two first-exit times of the risk process from the strip between the two horizontal lines is under study. The claim arrival process is governed by an Order Statistic Point Process (OSPP) which enables the derivation of formulas in terms of the joint distribution of the order statistics of a sample of uniform random variables.

Suggested Citation

  • Pierre-Olivier Goffard, 2019. "Two-sided exit problems in the ordered risk model," Post-Print hal-01528204, HAL.
    • Handle: RePEc:hal:journl:hal-01528204
    DOI: 10.1007/s11009-017-9606-z
    Note: View the original document on HAL open archive server: https://hal.science/hal-01528204v2
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    References listed on IDEAS

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    1. De Vylder, F. E. & Goovaerts, M. J., 1999. "Inequality extensions of Prabhu's formula in ruin theory," Insurance: Mathematics and Economics, Elsevier, vol. 24(3), pages 249-271, May.
    2. D. Perry & W. Stadje & S. Zacks, 2005. "A Two-Sided First-Exit Problem for a Compound Poisson Process with a Random Upper Boundary," Methodology and Computing in Applied Probability, Springer, vol. 7(1), pages 51-62, March.
    3. Lefèvre, Claude & Picard, Philippe, 2011. "A new look at the homogeneous risk model," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 512-519.
    4. De Vylder, F. & Goovaerts, M., 2000. "Homogeneous risk models with equalized claim amounts," Insurance: Mathematics and Economics, Elsevier, vol. 26(2-3), pages 223-238, May.
    Full references (including those not matched with items on IDEAS)

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