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

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<dc:creator>Albrecher, Hansjoerg</dc:creator>
<dc:date>2015-12-03</dc:date>
<dc:description xml:lang="es">Sumario: 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. </dc:description>
<dc:format xml:lang="en">application/pdf</dc:format>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/154632.do</dc:identifier>
<dc:language>spa</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Simulación Monte Carlo</dc:subject>
<dc:subject xml:lang="es">Empresas de seguros</dc:subject>
<dc:subject xml:lang="es">Probabilidad de ruina</dc:subject>
<dc:subject xml:lang="es">Estrategia empresarial</dc:subject>
<dc:subject xml:lang="es">Capitalización</dc:subject>
<dc:subject xml:lang="es">Operaciones de pago</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">Dividends and the time of ruin under barrier strategies with a capital-exchange agreement </dc:title>
<dc:relation xml:lang="es">En: Anales del Instituto de Actuarios Españoles : Colegio Profesional. - Madrid : Instituto de Actuarios Españoles, 1943-. - 03/12/2015 Número 21 Epoca 3ª época - 2015 , p. 1-30</dc:relation>
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