On fair reinsurance premiums; capital injections in a perturbed risk model

DOI10.1016/j.insmatheco.2018.06.001zbMath1416.91157arXiv1710.11065OpenAlexW2964205056MaRDI QIDQ1799626

Yanyan Li

Publication date: 19 October 2018

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1710.11065

zbMATH Keywords

ruinscale functionreinsurancecapital injectionsGerber-Shiu functionspectrally negative Lévy processexpected present valuesuccessive ruin events

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Related Items

Optimal multidimensional reinsurance policies under a common shock dependency structure

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