The absolute ruin insurance risk model with a threshold dividend strategy (Q2333751): Difference between revisions

Summary: The absolute ruin insurance risk model is modified by including some valuable market economic information factors, such as credit interest, debit interest and dividend payments. Such information is especially important for insurance companies to control risks. We further assume that the insurance company is able to finance and continue to operate when its reserve is negative. We investigate the integro-differential equations for some interest actuarial diagnostics. We also provide numerical examples to explain the effects of relevant parameters on actuarial diagnostics.

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zbMATH Keywords

absolute ruin

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integro-differential equations

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moment generating function

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threshold dividend strategy

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debit interest

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.3390/sym10090377

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cites work

On the time value of absolute ruin with debit interest

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Dividend payments in the classical risk model under absolute ruin with debit interest

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On the classical risk model with credit and debit interests under absolute ruin

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Absolute ruin problems for the risk processes with interest and a constant dividend barrier

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Absolute ruin problems in a compound Poisson risk model with constant dividend barrier and liquid reserves

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Moments of the Dividend Payments and Related Problems in a Markov-Modulated Risk Model

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Central limit theorem for functional of jump Markov processes

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On absolute ruin minimization under a diffusion approximation model

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Asymptotics for the in nite-time absolute ruin probabilities in time-dependent renewal risk models

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Asymptotics and uniform asymptotics for finite-time and infinite-time absolute ruin probabilities in a dependent compound renewal risk model

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On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest

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Optimal dividend control for a generalized risk model with investment incomes and debit interest

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Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest

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Minimizing the risk of absolute ruin under a diffusion approximation model with reinsurance and investment

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Infinite-time absolute ruin in dependent renewal risk models with constant force of interest

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Optimal time-consistent investment and reinsurance policies for mean-variance insurers

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Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility

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Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns

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Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments

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Spectrally negative Lévy processes with Parisian reflection below and classical reflection above

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On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times

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Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion

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Ruin theory with stochastic return on investments

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Ruin in the perturbed compound Poisson risk process under interest force

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Q3259158

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Q4002273

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On the expected discounted penalty function at ruin of a surplus process with interest.

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Identifiers

zbMATH Open document ID

1425.91236

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DOI

10.3390/sym10090377

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2333751

@@ Property / cites work @@
+On the time value of absolute ruin with debit interest
+Normal rank
@@ Property / cites work @@
+Dividend payments in the classical risk model under absolute ruin with debit interest
+Normal rank
@@ Property / cites work @@
+On the classical risk model with credit and debit interests under absolute ruin
+Normal rank
@@ Property / cites work @@
+Absolute ruin problems for the risk processes with interest and a constant dividend barrier
+Normal rank
@@ Property / cites work @@
+Absolute ruin problems in a compound Poisson risk model with constant dividend barrier and liquid reserves
+Normal rank
@@ Property / cites work @@
+Moments of the Dividend Payments and Related Problems in a Markov-Modulated Risk Model
+Normal rank
@@ Property / cites work @@
+Central limit theorem for functional of jump Markov processes
+Normal rank
@@ Property / cites work @@
+On absolute ruin minimization under a diffusion approximation model
+Normal rank
@@ Property / cites work @@
+Asymptotics for the in nite-time absolute ruin probabilities in time-dependent renewal risk models
+Normal rank
@@ Property / cites work @@
+Asymptotics and uniform asymptotics for finite-time and infinite-time absolute ruin probabilities in a dependent compound renewal risk model
+Normal rank
@@ Property / cites work @@
+On the decomposition of the absolute ruin probability in a perturbed compound Poisson surplus process with debit interest
+Normal rank
@@ Property / cites work @@
+Optimal dividend control for a generalized risk model with investment incomes and debit interest
+Normal rank
@@ Property / cites work @@
+Singular optimal dividend control for the regime-switching Cramér-Lundberg model with credit and debit interest
+Normal rank
@@ Property / cites work @@
+Minimizing the risk of absolute ruin under a diffusion approximation model with reinsurance and investment
+Normal rank
@@ Property / cites work @@
+Infinite-time absolute ruin in dependent renewal risk models with constant force of interest
+Normal rank
@@ Property / cites work @@
+Optimal time-consistent investment and reinsurance policies for mean-variance insurers
+Normal rank
@@ Property / cites work @@
+Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
+Normal rank
@@ Property / cites work @@
+Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns
+Normal rank
@@ Property / cites work @@
+Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments
+Normal rank
@@ Property / cites work @@
+Spectrally negative Lévy processes with Parisian reflection below and classical reflection above
+Normal rank
@@ Property / cites work @@
+On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times
+Normal rank
@@ Property / cites work @@
+Dividend payments with a threshold strategy in the compound Poisson risk model perturbed by diffusion
+Normal rank
@@ Property / cites work @@
+Ruin theory with stochastic return on investments
@@ Property / cites work: Ruin theory with stochastic return on investments / rank @@
+Normal rank
@@ Property / cites work @@
+Ruin in the perturbed compound Poisson risk process under interest force
+Normal rank
@@ Property / cites work @@
+Q3259158
@@ Property / cites work: Q3259158 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4002273
@@ Property / cites work: Q4002273 / rank @@
+Normal rank
@@ Property / cites work @@
+On the expected discounted penalty function at ruin of a surplus process with interest.
+Normal rank