Discrete-time insurance models

DOI10.3103/S0027132223060025MaRDI QIDQ6545377zbMATH OpenFDO

Authors E. V. Bulinskaya

Publication date 29 May 2024

Published in Moscow University Mathematics Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3103/S0027132223060025

zbMATH Keywords

discrete-time insurance modelsoptimal controlruin probabilitystability with respect to small fluctuation of parameters and perturbation of random variables distributions describing the modelstochastic orders

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Review text

The subject of the paper is a study of some insurance company ruin probability model in discrete time. The time-periods are the ones related to the sequential arrivals of claims and the perception of them both by an insurance and a reinsurance company. The size of payment by the insurance company is the same for any time-period and the claims are supposed to be independent and identically distributed in time. The control variables are two: the size of the payment mentioned above and the premium of the immediate insurer (after reinsurance) at each of the periods. The main results of the paper are actually the limit theorems related to the ruin probability of the insurer and the limit distribution of the insurance company under some assumptions.

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Cites work

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• Some Optimal Dividends Problems
• Stochastic orders
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