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

Sung Soo Kim and Steve Drekic
Additional contact information
Sung Soo Kim: Department of Statistics & Actuarial Science, University ofWaterloo, 200 University Avenue West, Waterloo, ON N2L 3G1, Canada
Steve Drekic: Department of Statistics & Actuarial Science, University ofWaterloo, 200 University Avenue West, Waterloo, ON N2L 3G1, Canada

Risks, 2016, vol. 4, issue 1, 1-15

Abstract: 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 calculate the finite-time ruin probabilities and expected total discounted dividends paid prior to ruin associated with this model. We investigate several numerical examples and make some observations concerning the impact our threshold levels have on the finite-time ruin probabilities and expected total discounted dividends paid prior to ruin.

Keywords: Sparre Andersen model; randomized dividends; ruin probability; threshold level (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.mdpi.com/2227-9091/4/1/2/pdf (application/pdf)
https://www.mdpi.com/2227-9091/4/1/2/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jrisks:v:4:y:2016:i:1:p:2-:d:63362

Access Statistics for this article

Risks is currently edited by Mr. Claude Zhang

More articles in Risks from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().