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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
Registro MARC
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1001 ‎$0‎MAPA20150020109‎$a‎Albrecher, Hansjoerg
24510‎$a‎Dividends and the time of ruin under barrier strategies with a capital-exchange agreement ‎$c‎Hansjoerg Albrecher, Volkmar Lautscham
520  ‎$a‎We 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.
650 4‎$0‎MAPA20080608606‎$a‎Simulación Monte Carlo
650 4‎$0‎MAPA20080590567‎$a‎Empresas de seguros
650 4‎$0‎MAPA20080603069‎$a‎Probabilidad de ruina
650 4‎$0‎MAPA20080606091‎$a‎Estrategia empresarial
650 4‎$0‎MAPA20080568245‎$a‎Capitalización
650 4‎$0‎MAPA20090040748‎$a‎Operaciones de pago
7730 ‎$w‎MAP20070000012‎$t‎Anales del Instituto de Actuarios Españoles : Colegio Profesional‎$d‎Madrid : Instituto de Actuarios Españoles, 1943-‎$g‎03/12/2015 Número 21 Epoca 3ª época - 2015 , p. 1-30
856  ‎$q‎application/pdf‎$w‎1086047‎$y‎Recurso electrónico / Electronic resource