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A ruin model with compound poisson income and dependence between claim sizes and claim intervals
We consider a ruin model with random income and dependence between claim sizes and claim intervals. In this paper, we extend the determinate premium...
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On the Markov-dependent risk model with tax
In this paper we consider the Markov-dependent risk model with tax payments in which the claim occurrence, the claim amount as well as the tax rate...
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Optimal dividend and capital injection problem with a random time horizon and a ruin penalty in the dual model
In the dual risk model, we consider the optimal dividend and capital injection problem, which involves a random time horizon and a ruin penalty. Both...
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Hyper-exponential jump-diffusion model under the barrier dividend strategy
In this paper, we consider a hyper-exponential jump-diffusion model with a constant dividend barrier. Explicit solutions for the Laplace transform of...
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Gerber-Shiu function of a discrete risk model with and without a constant dividend barrier
We consider the discrete risk model with exponential claim sizes. We derive the finite explicit elementary expression for the joint density function...
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Optimal dividend strategy in compound binomial model with bounded dividend rates
We consider the compound binomial model, and assume that dividends are paid to the shareholders according to an admissible strategy with dividend...
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Criterion of semi-Markov dependent risk model
A rigorous definition of semi-Markov dependent risk model is given. This model is a generalization of the Markov dependent risk model. A criterion...
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The optimal policy for insurance company under consideration of internal competition and the time value of ruin
This paper considers the dividend optimization problem for an insurance company under the consideration of internal competition between different...
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Optimal proportional reinsurance and investment problem with jump-diffusion risk process under effect of inside information
We study optimal investment and proportional reinsurance strategy in the presence of inside information. The risk process is assumed to follow a...
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Uniform tail asymptotics for the aggregate claims with stochastic discount in the renewal risk models
Considering an insurer who is allowed to make risk-free and risky investments, as in Tang et al. (2010), the price process of the investment...
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Optimal dividend payout for classical risk model with risk constraint
In this paper we consider the problem of maximizing the total discounted utility of dividend payments for a Cramér-Lundberg risk model subject to...
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The finite-time ruin probability in the presence of Sarmanov dependent financial and insurance risks
Consider a discrete-time insurance risk model. Within period i, i ≥ 1, X i and Y i denote the net insurance loss and the stochastic discount factor...
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The relations among the three kinds of conditional risk measures
Let (Ω, E, P ) be a probability space, F a sub- σ -algebra of E , L p ( E ) (1 ⩽ p ⩽ +∞) the classical function space and L
F p ( E ) the L 0 ( F )-module... -
Exact joint laws associated with spectrally negative Lévy processes and applications to insurance risk theory
We consider the spectrally negative Lévy processes and determine the joint laws for the quantities such as the first and last passage times over a...
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Alternative approach to the optimality of the threshold strategy for spectrally negative Lévy processes
Consider the optimal dividend problem for an insurance company whose uncontrolled surplus precess evolves as a spectrally negative Lévy process. We...
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Optimization of expected shortfall on convex sets
In this article, we prove that the minimization problem of the expected shortfall over a convex but not necessarily closed set of financial positions
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Precise large deviations for actual aggregate loss process in a dependent compound customer-arrival-based insurance risk model
In this paper, we investigate a dependent compound customer-arrival-based insurance risk model, in which the k th customer purchases a random number...
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Total duration of negative surplus for a Brownian motion risk model with interest
In this paper, we consider the Brownian motion risk model with interest. The Laplace transform of the first exit time from the upper barrier before...
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On two actuarial quantities for the compound Poisson risk model with tax and a threshold dividend strategy
In this paper, we consider a compound Poisson risk model with taxes paid according to a loss-carry-forward system and dividends paid under a...
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A Construction of mixed Poisson processes via disintegrations
A new construction of mixed Poisson processes with prescribed distributions for their claim interarrival times is given. As a consequence, some...