Add to ORKGthe valuable suggestions from the anonymous referee. Abstract: In the context of a compound Poisson risk model, we define a threshold pro-portional reinsurance strategy: A retention level k1 is applied whenever the reserves are less than a determinate threshold b, and a retention level k2 is applied in the other case. We obtain the integro-differential equation for the Gerber-Shiu function (defined in Gerber and Shiu (1998)) in this model, which allows us to obtain the expressions for ruin probability and Laplace transforms of time of ruin for several distributions of the claim sizes. Finally, we present some numerical results. JEL Classification: G22
Abstract. This paper considers the ruin probability under a threshold insurance risk model. We assum...
This research article published by Hindawi, 2018We consider an insurance company whose reserves dyna...
In actuarial science ruin theory uses mathematical models to describe an insurer’s vulnerability to ...
[spa] En un modelo de Poisson compuesto, definimos una estrategia de reaseguro proporcional de umbra...
In the context of a compound Poisson risk model, we define a threshold proportional reinsurance stra...
In this paper, we focus our analysis on the distribution function and the moments of the deficit at ...
In this paper, we present a threshold proportional reinsurance strategy and we analyze the effect on...
We consider a Cramér-Lundberg insurance risk process with the added feature of reinsurance. If an ar...
\u3cp\u3eWe consider a Cramér-Lundberg insurance risk process with the added feature of reinsurance....
We consider a Cramér-Lundberg insurance risk process with the added feature of reinsurance. If an ar...
Reinsurance is one of the tools that an insurer can use to mitigate the underwriting risk and then t...
1 In this paper we discuss a threshold dividend strategy implemented into the classi-cal compound Po...
ISBN 07340 3558 6We consider a classical surplus process where the insurer can choosea different lev...
We consider a compound Poisson risk model in which part of the premium is paid to the shareholders a...
In this paper, we consider optimal reinsurance from an insurer's point of view. Given a (low) ruin p...
Abstract. This paper considers the ruin probability under a threshold insurance risk model. We assum...
This research article published by Hindawi, 2018We consider an insurance company whose reserves dyna...
In actuarial science ruin theory uses mathematical models to describe an insurer’s vulnerability to ...
[spa] En un modelo de Poisson compuesto, definimos una estrategia de reaseguro proporcional de umbra...
In the context of a compound Poisson risk model, we define a threshold proportional reinsurance stra...
In this paper, we focus our analysis on the distribution function and the moments of the deficit at ...
In this paper, we present a threshold proportional reinsurance strategy and we analyze the effect on...
We consider a Cramér-Lundberg insurance risk process with the added feature of reinsurance. If an ar...
\u3cp\u3eWe consider a Cramér-Lundberg insurance risk process with the added feature of reinsurance....
We consider a Cramér-Lundberg insurance risk process with the added feature of reinsurance. If an ar...
Reinsurance is one of the tools that an insurer can use to mitigate the underwriting risk and then t...
1 In this paper we discuss a threshold dividend strategy implemented into the classi-cal compound Po...
ISBN 07340 3558 6We consider a classical surplus process where the insurer can choosea different lev...
We consider a compound Poisson risk model in which part of the premium is paid to the shareholders a...
In this paper, we consider optimal reinsurance from an insurer's point of view. Given a (low) ruin p...
Abstract. This paper considers the ruin probability under a threshold insurance risk model. We assum...
This research article published by Hindawi, 2018We consider an insurance company whose reserves dyna...
In actuarial science ruin theory uses mathematical models to describe an insurer’s vulnerability to ...