Simulation methods in ruin models with non-linear dividend barriers

Hansjörg Albrecher, Reinhold Kainhofer and Robert F. Tichy

Mathematics and Computers in Simulation (MATCOM), 2003, vol. 62, issue 3, 277-287

Abstract: In this paper, a collective risk reserve process of an insurance portfolio characterized by a homogeneous Poisson claim number process, a constant premium flow and independent and identically distributed claims is considered. In the presence of a non-linear dividend barrier strategy and interest on the free reserve we derive equations for the probability of ruin and the expected present value of dividend payments which give rise to several numerical number-theoretic solution techniques. For various claim size distributions and a parabolic barrier numerical tests and comparisons of these techniques are performed. In particular, the efficiency gain obtained by implementing low-discrepancy sequences instead of pseudo-random sequences is investigated.

Keywords: Collective risk model; Dividend barrier strategies; QMC methods (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:62:y:2003:i:3:p:277-287

DOI: 10.1016/S0378-4754(02)00225-2

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