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Stop-loss reinsurance is a risk management tool that allows an insurance company to transfer part of their risk to a reinsurance company. Ruin probabilities allow us to measure the effect of stop-loss reinsurance on the solvency of the primary insurer. They further permit the calculation of the...
Persistent link: https://www.econbiz.de/10013556669
We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival times depending on the claims that arrive within a fixed (past) time window. This dependence could be explained through a regenerative structure. The main inspiration of the model comes from the bonus-malus...
Persistent link: https://www.econbiz.de/10011507555
Persistent link: https://www.econbiz.de/10014232583
. Applying the approximation theory of solutions of linear ordinary differential equations, we derive the asymptotics of the ruin …
Persistent link: https://www.econbiz.de/10012612558
We find the asymptotics of the value function maximizing the expected utility of discounted dividend payments of an insurance company whose reserves are modeled as a classical Cramér risk process, with exponentially distributed claims, when the initial reserves tend to infinity. We focus on the...
Persistent link: https://www.econbiz.de/10014303657