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1.
In this paper, we consider the dividend payments in a compound Poisson risk model with credit and debit interests under absolute ruin. We first obtain the integro-differential equations satisfied by the moment generating function and moments of the discounted aggregate dividend payments. Secondly, applying these results, we get the explicit expressions of them for exponential claims. Then, we give the numerical analysis of the optimal dividend barrier and the expected discounted aggregate dividend payments which are influenced by the debit and credit interests. Finally, we find the integro-differential equations satisfied by the Laplace transform of absolute ruin time and give its explicit expressions when the claim sizes are exponentially distributed. 相似文献
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In this paper, we consider the optimal dividend problem for a classical risk model with a constant force of interest. For
such a risk model, a sufficient condition under which a barrier strategy is the optimal strategy is presented for general
claim distributions. When claim sizes are exponentially distributed, it is shown that the optimal dividend policy is a barrier
strategy and the maximal dividend-value function is a concave function. Finally, some known results relating to the distribution
of aggregate dividends before ruin are extended. 相似文献
3.
We consider that the reserve of an insurance company follows a renewal risk process with interest and dividend. For this risk process, we derive integral equations and exact infinite series expressions for the Gerber-Shiu discounted penalty function. Then we give lower and upper bounds for the ruin probability. Finally, we present exact expressions for the ruin probability in a special case of renewal risk processes. 相似文献
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In this paper, we extend the work of Mitric and Sendova (2010), which considered the absolute ruin problem in a risk model with debit and credit interest, to renewal and non-renewal structures. Our first results apply to MAP processes, which we later restrict to the Sparre Andersen renewal risk model with interclaim times that are generalized Erlang (n) distributed and claim amounts following a Matrix-Exponential (ME) distribution (see for e.g. Asmussen and O’Cinneide (1997)). Under this scenario, we present a general methodology to analyze the Gerber-Shiu discounted penalty function defined at absolute ruin, as a solution of high-order linear differential equations with non-constant coefficients. Closed-form solutions for some absolute ruin related quantities in the generalized Erlang (2) case complement the results obtained under the classical risk model by Mitric and Sendova (2010). 相似文献
5.
Absolute ruin in the compound Poisson model with credit and debit interests and liquid reserves
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In this paper, we study the absolute ruin probability in the compound Poisson model with credit and debit interests and liquid reserves. At first, we derive a system of integro‐differential equations with certain boundary conditions for the Gerber–Shiu function. Then, applying these results, we obtain asymptotical formula of the absolute ruin probability for subexponentially claims. Furthermore, when the claims are exponentially distributed, we obtain the explicit expressions for the Gerber–Shiu function and the exact solution for the absolute ruin probability. Finally, we discuss the absolute ruin probability by using the Gerber–Shiu function when debit interest is varying. In the case of exponential individual claim, we give the explicit expressions for the Gerber–Shiu function. Copyright © 2012 John Wiley & Sons, Ltd. 相似文献
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主要研究了常数分红界下两离散相依险种风险模型的分红问题.模型假定一个险种的主索赔以一定的概率引起另外一险种的副索赔,且副索赔可能延迟发生,推导了到破产前一时刻为止累积分红折现均值满足的差分方程,并得到了特殊索赔额下累积分红折现均值的具体表达式,最后结合实际例子进行了数值模拟. 相似文献
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����³�� ����Ԫ 《应用概率统计》2016,32(4):376-392
For a financial or insurance entity, the problem of finding the
optimal dividend distribution strategy and optimal firm value function is a widely discussed
topic. In the present paper, it is assumed that the firm faces two types of liquidity risks:
a Brownian risk and a Poisson risk. The firm can control the time and amount of dividends
paid out to shareholders. By sufficiently taking into account the safety of the company,
bankruptcy is said to take place at time $t$ if the cash reserve of the firm runs below
the linear barrier b+kt (not zero), see 1. We deal with the problem of maximizing
the expected total discounted dividends paid out until bankruptcy. The optimal dividend
return (or, firm value) function is identified as the classical solution of the associated
Hamilton-Jacobi-Bellman (HJB) equation where a second-order differential-integro equation
is involved. By solving the corresponding HJB equation, the analytical solution of the
optimal firm value function is obtained, the optimal dividend strategy is also characterized,
which is of linear barrier type: at time t the firm keeps cash inside when the cash
reserves level is less than a critical linear barrier and pays cash in excess of
this linear barrier as dividends. 相似文献
10.
In this article, we consider two discrete‐time risk models, in which dependent structures of the payments and the interest force are considered. Two autoregressive moving‐average (ARMA) models are introduced to model the premiums and rates of interest, and the claims are assumed to be independent. Generalized Lundberg inequalities for the ruin probabilities are derived by using renewal recursive technique, which extend some known results. Copyright © 2009 John Wiley & Sons, Ltd. 相似文献
11.
David Landriault Tianxiang Shi Gordon E. Willmot 《Insurance: Mathematics and Economics》2011,49(3):371-379
Recent research into the nature of the distribution of the time of ruin in some Sparre Andersen risk models has resulted in series expansions for the associated density function. Examples include Dickson and Willmot (2005) in the classical Poisson model with exponential interclaim times, and Borovkov and Dickson (2008), who used a duality argument in the case with exponential claim amounts. The aim of this paper is not only to unify previous methodology through the use of Lagrange’s expansion theorem, but also to provide insight into the nature of the series expansions by identifying the probabilistic contribution of each term in the expansion through analysis involving the distribution of the number of claims until ruin. The (defective) distribution of the number of claims until ruin is then further examined. Interestingly, a connection to the well-known extended truncated negative binomial (ETNB) distribution is also established. Finally, a closed-form expression for the joint density of the time to ruin, the surplus prior to ruin, and the number of claims until ruin is derived. In the last section, the formula of Dickson and Willmot (2005) for the density of the time to ruin in the classical risk model is re-examined to identify its individual contributions based on the number of claims until ruin. 相似文献
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考虑到保险公司在实际经营中收益所具有的不确定性和分红策略,建立一类具有线性红利界和带随机扰动的双复合Poisson风险模型,利用鞅方法给出模型关于破产概率的一个定理及上界. 相似文献
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The purpose of this paper is to consider the expected value of a discounted penalty due at ruin in the Erlang(2) risk process under constant interest force. An integro-differential equation satisfied by the expected value and a second-order differential equation for the Laplace transform of the expected value are derived. In addition, the paper will present the recursive algorithm for the joint distribution of the surplus immediately before ruin and the deficit at ruin. Finally, by the differential equation, the defective renewal equation and the explicit expression for the expected value are given in the interest-free case. 相似文献
15.
Ding Jun YAO Rong Ming WANG 《数学学报(英文版)》2008,24(2):319-328
The authors consider two discrete-time insurance risk models. Two moving average risk models are introduced to model the surplus process, and the probabilities of ruin are examined in models with a constant interest force. Exponential bounds for ruin probabilities of an infinite time horizon are derived by the martingale method. 相似文献
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高珊 《纯粹数学与应用数学》2009,25(2):251-257
给出了具有边界红利策略的Erlang(2)风险模型,在此红利策略下,若保险公司的盈余在红利线以下时不支付红利,否则红利以低于保费率的常速率予以支付.对于该模型,本文推导了Gerber-Shiu折现惩罚函数所满足的两个积分-微分方程和更新方程. 相似文献
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考虑一类资产盈余具有流动储备金和利率的带干扰的复合泊松风险模型的分红问题,得到了累积分红现值的矩母函数,n阶原点矩所满足的积分-微分方程及边界条件,并给出了索赔额为指数分布时相应积分-微分方程解的具体表达式. 相似文献
18.
Consider a compound Poisson surplus process of an insurer with debit interest and tax payments. When the portfolio is in a profitable situation, the insurer may pay a certain proportion of the premium income as tax payments. When the portfolio is below zero, the insurer could borrow money at a debit interest rate to continue his/her business. Meanwhile, the insurer will repay the debts from his/her premium income. The negative surplus may return to a positive level except that the surplus is below a certain critical level. In the latter case, we say that absolute ruin occurs. In this paper, we discuss absolute ruin quantities by defining an expected discounted penalty function at absolute ruin. First, a system of integro-differential equations satisfied by the expected discounted penalty function is derived. Second, closed-form expressions for the expected discounted total sum of tax payments until absolute ruin and the Laplace-Stieltjes transform (LST) of the total duration of negative surplus are obtained. Third, for exponential individual claims, closed-form expressions for the absolute ruin probability, the LST of the time to absolute ruin, the distribution function of the deficit at absolute ruin and the expected accumulated discounted tax are given. Fourth, for general individual claim distributions, when the initial surplus goes to infinity, we show that the ratio of the absolute ruin probability with tax to that without tax goes to a positive constant which is greater than one. Finally, we investigate the asymptotic behavior of the absolute ruin probability of a modified risk model where the interest rate on a positive surplus is involved. 相似文献
19.
On the expected discounted penalty function at ruin of a surplus process with interest 总被引:3,自引:0,他引:3
In this paper, we study the expected value of a discounted penalty function at ruin of the classical surplus process modified by the inclusion of interest on the surplus. The ‘penalty’ is simply a function of the surplus immediately prior to ruin and the deficit at ruin. An integral equation for the expected value is derived, while the exact solution is given when the initial surplus is zero. Dickson’s [Insurance: Mathematics and Economics 11 (1992) 191] formulae for the distribution of the surplus immediately prior to ruin in the classical surplus process are generalised to our modified surplus process. 相似文献
20.
In this paper, we consider the compound Poisson risk model perturbed by diffusion with constant interest and a threshold dividend strategy. Integro-differential equations with certain boundary conditions for the moment-generation function and the nth moment of the present value of all dividends until ruin are derived. We also derive integro-differential equations with boundary conditions for the Gerber-Shiu functions. The special case that the claim size distribution is exponential is considered in some detail. 相似文献