Risk diversifying treaty between two companies with only one in insurance business

DOI10.1007/s13571-015-0113-3zbMath1364.91070OpenAlexW2324757958MaRDI QIDQ2358424

Yanyan Li

Publication date: 14 June 2017

Published in: Sankhyā. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13571-015-0113-3

zbMATH Keywords

ruinSkorokhod problemruin probabilityreflected processsubexponential distributionCramer-Lundberg modelcapital injectionlight-tailed distributionLundberg adjustment coefficientrenewal-risk model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of renewal theory (reliability, demand theory, etc.) (60K10)

Uses Software

• QRM

Cites Work

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• Open Queueing Networks in Heavy Traffic
• Some Optimal Dividends Problems
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• Explicit Solutions for Survival Probabilities in the Classical Risk Model