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Two-sided exit problems in the ordered risk model

Pierre-Olivier Goffard ()
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Pierre-Olivier Goffard: UCSB - University of California [Santa Barbara] - University of California

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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: Finite-time ruin probabilities; Joint distribution of order statistics; Order statistic property; First-exit time; Risk theory; ueywordsX Order statistic property (search for similar items in EconPapers)
Date: 2017-05
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01528204v2
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