On the time to ruin for a dependent delayed capital injection risk model
Lewis Ramsden and
Apostolos D. Papaioannou
Applied Mathematics and Computation, 2019, vol. 352, issue C, 119-135
In this paper, we propose a generalisation to the Cramér–Lundberg risk model, by allowing for a delayed receipt of the required capital injections whenever the surplus of an insurance firm is negative. Delayed capital injections often appear in practice due to the time taken for administrative and processing purposes of the funds from a third party or the shareholders of an insurance firm.
Keywords: Ruin probability; Deficit dependent delayed capital injections; Fredholm integral equation; Neumann series solution (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:352:y:2019:i:c:p:119-135
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