A dependent insurance risk model with surrender and investment under the thinning process
Summary: A dependent insurance risk model with surrender and investment under the thinning process is discussed, where the arrival of the policies follows a compound Poisson-Geometric process, and the occurrences of the claim and surrender happen as the \(p\)-thinning process and the \(q\)-thinning process of the arrival process, respectively. By the martingale theory, the properties of the surplus process, adjustment coefficient equation, the upper bound of ruin probability, and explicit expression of ruin probability are obtained. Moreover, we also get the Laplace transformation, the expectation, and the variance of the time when the surplus reaches a given level for the first time. Finally, various trends of the upper bound of ruin probability and the expectation and the variance of the time when the surplus reaches a given level for the first time are simulated analytically along with changing the investment size, investment interest rates, claim rate, and surrender rate.
- scientific article; zbMATH DE number 6613428
- The study of a thinning risk model
- Ruin probability in a multi-dimensional dependent risk model of a variable ruin limit under thinning process
- Dependent Insurance Risk Model: Deterministic Threshold
- Analysis of an insurance risk model with thinning dependence and common shock
- Dependent frequency-severity modeling of insurance claims
- Gerber-Shiu analysis in a perturbed risk model with dependence between claim sizes and interclaim times
- scientific article; zbMATH DE number 6001275 (Why is no real title available?)
- scientific article; zbMATH DE number 3671542 (Why is no real title available?)
- On the compound Poisson risk model with dependence and a threshold dividend strategy
- On the expected discounted penalty function and optimal dividend strategy for a risk model with random incomes and interclaim-dependent claim sizes
- On the expected discounted penalty function in a Markov-dependent risk model with a constant dividend barrier
- On the Time Value of Ruin
- Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
- Randomized dividends in a discrete insurance risk model with stochastic premium income
- Studies on a double Poisson-geometric insurance risk model with interference
- Uniform asymptotic estimate for finite-time ruin probabilities of a time-dependent bidimensional renewal model
This page was built for publication: A dependent insurance risk model with surrender and investment under the thinning process
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1664709)
