Multidimensional Insurance Model with Risk-Reducing Treaty

DOI10.1080/15326349.2011.593399zbMath1237.91137OpenAlexW2092295879MaRDI QIDQ3094227

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Publication date: 21 October 2011

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2011.593399

zbMATH Keywords

reflectionlinear complementarity problemspectral radiusdispersioninfinitesimal generatorstrong Markov propertySkorokhod problem in an orthantdriftFeller propertyCramér-Lundberg modelSDEsurpluspure jump processamount needed to avert ruinmultidimensional risk processpushing part

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Transition functions, generators and resolvents (60J35)

Related Items (2)

Risk diversifying treaty between two companies with only one in insurance business ⋮ A multidimensional ruin problem and an associated notion of duality

Uses Software

• QRM

Cites Work

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