Multidimensional Insurance Model with Risk-Reducing Treaty
From MaRDI portal
Publication:3094227
DOI10.1080/15326349.2011.593399zbMath1237.91137OpenAlexW2092295879MaRDI QIDQ3094227
No author found.
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
reflectionlinear complementarity problemspectral radiusdispersioninfinitesimal generatorstrong Markov propertySkorokhod problem in an orthantdriftFeller propertyCramér-Lundberg modelSDEsurpluspure jump processamount needed to avert ruinmultidimensional risk processpushing part
Applications of stochastic analysis (to PDEs, etc.) (60H30) Transition functions, generators and resolvents (60J35)
Related Items
Risk diversifying treaty between two companies with only one in insurance business ⋮ A multidimensional ruin problem and an associated notion of duality
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A two-dimensional ruin problem on the positive quadrant
- Processes with inert drift
- Reflected Brownian motion on an orthant
- Optimal investment for investors with state dependent income, and for insurers
- SDEs with oblique reflection on nonsmooth domains
- Exit problem of a two-dimensional risk process from the quadrant: Exact and asymptotic results
- An explicit formula for the Skorokhod map on \([0,a\)]
- A \(d\)-person differential game with state space constraints
- An insurance network: Nash equilibrium
- A Subsidy-Surplus Model and the Skorokhod Problem in an Orthant
- Open Queueing Networks in Heavy Traffic
- Multivariate risk processes with interacting intensities
- A lemma of variational distance between maximal functions with application to the skorokhod problem in a nonnegative orthant with state-dependent reflection directions
- Multivariate Counting Processes: Copulas and Beyond
- Optimal investment for insurers
- On the path of an inert object impinged on one side by a Brownian particle
