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Dividends and the time of ruin under barrier strategies with a capital-exchange agreement

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<title>Dividends and the time of ruin under barrier strategies with a capital-exchange agreement</title>
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<name type="personal" usage="primary" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20150020109">
<namePart>Albrecher, Hansjoerg</namePart>
<nameIdentifier>MAPA20150020109</nameIdentifier>
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<genre authority="marcgt">periodical</genre>
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<dateIssued encoding="marc">2015</dateIssued>
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<abstract displayLabel="Summary">We consider a capital-exchange agreement, where two insurers recapitalize each other in certain situations with funds they would otherwise use for dividend payments. We derive equations characterizing the expected time of ruin and the expected value of the respective discounted dividends until ruin, if dividends are paid according to a barrier strategy. In a Monte Carlo simulation study we illustrate the potential advantages of this type of collaboration. </abstract>
<note type="statement of responsibility">Hansjoerg Albrecher, Volkmar Lautscham</note>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080608606">
<topic>Simulación Monte Carlo</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080590567">
<topic>Empresas de seguros</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080603069">
<topic>Probabilidad de ruina</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080606091">
<topic>Estrategia empresarial</topic>
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<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080568245">
<topic>Capitalización</topic>
</subject>
<subject xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20090040748">
<topic>Operaciones de pago</topic>
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<classification authority="">6</classification>
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<title>Anales del Instituto de Actuarios Españoles : Colegio Profesional</title>
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<publisher>Madrid : Instituto de Actuarios Españoles, 1943-</publisher>
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<identifier type="local">MAP20070000012</identifier>
<part>
<text>03/12/2015 Número 21 Epoca 3ª época - 2015 , p. 1-30</text>
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