Dividends and the Time of Ruin under Barrier Strategies with a Capital-Exchange Agreement

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Ressource 1Télécharger: BIB_BB0A0C639AEE.P001.pdf (1091.11 [Ko])
Etat: Public
Version: de l'auteur⸱e
ID Serval
serval:BIB_BB0A0C639AEE
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
Dividends and the Time of Ruin under Barrier Strategies with a Capital-Exchange Agreement
Périodique
Anales del Instituto de Actuarios Espanoles
Auteur⸱e⸱s
Albrecher H., Lautscham V.
ISSN
0534-3232
Statut éditorial
Publié
Date de publication
2015
Peer-reviewed
Oui
Numéro
21
Pages
1-30
Langue
anglais
Résumé
We consider a capital-exchange agreement, where two insurers recapitalize each other in certain situations with funds they would otherwise use for dividend payments. We derive equations characterizing the expected time of ruin and the expected value of the respective discounted dividends until ruin, if dividends are paid according to a barrier strategy. In a Monte Carlo simulation study we illustrate the potential advantages of this type of collaboration.
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Création de la notice
02/10/2015 15:57
Dernière modification de la notice
20/08/2019 16:29
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