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Dividends and the time of ruin under barrier strategies with a capital-exchange agreement
Dividends and the time of ruin under barrier strategies with a capital-exchange agreement
 Recurso electrónico / Electronic resource
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Collection: Articles
Title: Dividends and the time of ruin under barrier strategies with a capital-exchange agreement / Hansjoerg Albrecher, Volkmar LautschamAuthor: Albrecher, Hansjoerg ‌
Notes: 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. Related records: 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. 1-30Materia / lugar / evento: Simulación Monte Carlo ‌Empresas de seguros ‌Probabilidad de ruina ‌Estrategia empresarial ‌Capitalización ‌Operaciones de pago ‌Other categories: 6
Rights: In Copyright (InC)
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