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

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Serval ID
serval:BIB_BB0A0C639AEE
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Dividends and the Time of Ruin under Barrier Strategies with a Capital-Exchange Agreement
Journal
Anales del Instituto de Actuarios Espanoles
Author(s)
Albrecher H., Lautscham V.
ISSN
0534-3232
Publication state
Published
Issued date
2015
Peer-reviewed
Oui
Number
21
Pages
1-30
Language
english
Abstract
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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Create date
02/10/2015 15:57
Last modification date
20/08/2019 16:29
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