Ruin Analysis of a Discrete-Time Dependent Sparre Andersen Model with External Financial Activities and Randomized Dividends

Ruin Analysis of a Discrete-Time Dependent Sparre Andersen Model with External Financial Activities and Randomized Dividends

We consider a discrete-time dependent Sparre Andersen risk model which incorporates multiple threshold levels characterizing an insurer’s minimal capital requirement, dividend paying situations, and external financial activities. We focus on the development of a recursive computational procedure to...

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Bibliographic Details
Main Authors: Sung Soo Kim, Steve Drekic
Format: Article
Language:English
Published: MDPI AG 2016-02-01
Series:Risks
Subjects:
Sparre Andersen model
randomized dividends
ruin probability
threshold level
Online Access:http://www.mdpi.com/2227-9091/4/1/2

Internet

http://www.mdpi.com/2227-9091/4/1/2

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