Discrete-Time Model of Company Capital Dynamics with Investment of a Certain Part of Surplus in a Non-Risky Asset for a Fixed Period

Ekaterina Bulinskaya () and Boris Shigida ()
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Ekaterina Bulinskaya: Lomonosov Moscow State University
Boris Shigida: Lomonosov Moscow State University

Methodology and Computing in Applied Probability, 2021, vol. 23, issue 1, 103-121

Abstract: Abstract A periodic-review insurance model is studied under the following assumptions. One-period insurance claims form a sequence of independent identically distributed nonnegative random variables with a finite mean. At the beginning of each period a quota δ of the company surplus is invested in a non-risky asset for m periods. Theoretical expressions for finite-time and ultimate ruin probabilities, in terms of multiple integrals, are presented and applied to the particular case where claims are exponential. Dividend problems are also considered. Numerical results obtained by virtue of simulation are provided and other algorithmic approaches are discussed. Sensitivity analysis of ruin probability is carried out for the case of exponential claims.

Keywords: Discrete-time insurance model; Investment; Finite-time ruin; Dividends; Simulation; Sensitivity; 91B30; 90C59 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1007/s11009-020-09843-5

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