 Analysis of risk models using a level crossing techniquePercy H. Brill and Kaiqi Yu Insurance: Mathematics and Economics, 2011, vol. 49, issue 3, 298-309 Abstract: This paper analyzes ruin-like risk models in Insurance, which are variants of the Cramer–Lundberg (C–L) model with a barrier or a threshold. We consider three model variants, which have different portfolio strategies when the risk reserve reaches the barrier or exceeds the threshold. In these models we construct a time-extended risk process defined on cycles of a specific renewal process. The time until ruin is equal to one cycle of the specific renewal process. We also consider a fourth model, which is a variant of a model proposed by Dickson and Waters (2004). The analysis of each model employs a level crossing method (LC) to derive the steady-state probability distribution of the time-extended risk process. From the derived distribution we compute the expected time until ruin, the probability distribution of the deficit at ruin, and related quantities of interest. Keywords: Dividend barrier or threshold; Time until ruin; Deficit at ruin; Heavy-tailed claim sizes; Hyperexponential claim sizes; Level crossing method (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:insuma:v:49:y:2011:i:3:p:298-309 DOI: 10.1016/j.insmatheco.2011.05.005 Access Statistics for this article Insurance: Mathematics and Economics is currently edited by R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu More articles in Insurance: Mathematics and Economics from Elsevier |
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