Two-Sided Exit Problems in the Ordered Risk Model

Pierre-Olivier Goffard ()
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Pierre-Olivier Goffard: University of California

Methodology and Computing in Applied Probability, 2019, vol. 21, issue 2, 539-549

Abstract: Abstract The insurance risk model in the presence of two horizontal absorbing barriers is considered. The lower barrier is the usual ruin barrier while the upper one corresponds to the dividend barrier. The distribution of two first-exit times of the risk process from the strip between the two horizontal lines is under study. The claim arrival process is governed by an Order Statistic Point Process (OSPP) which enables the derivation of formulas in terms of the joint distribution of the order statistics of a sample of uniform random variables.

Keywords: Order statistic property; Joint distribution of order statistics; Finite-time ruin probabilities; First-exit time; Risk theory; 60G55; 60G40; 12E10 (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1007/s11009-017-9606-z

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