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On a class of dependent Sparre Andersen risk models and a bailout application

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Title: On a class of dependent Sparre Andersen risk models and a bailout application
Authors: Avram, F
Badescu, AL
Pistorius, MR
Rabehasaina, L
Item Type: Journal Article
Abstract: In this paper a one-dimensional surplus process is considered with a certain Sparre Andersen type dependence structure under general interclaim times distribution and correlated phase-type claim sizes. The Laplace transform of the time to ruin under such a model is obtained as the solution of a fixed-point problem, under both the zero-delayed and the delayed cases. An efficient algorithm for solving the fixed-point problem is derived together with bounds that illustrate the quality of the approximation. A two-dimensional risk model is analyzed under a bailout type strategy with both fixed and variable costs and a dependence structure of the proposed type. Numerical examples and ideas for future research are presented at the end of the paper.
Issue Date: 2-Aug-2016
Date of Acceptance: 2-Aug-2016
URI: http://hdl.handle.net/10044/1/38670
DOI: https://dx.doi.org/10.1016/j.insmatheco.2016.08.001
ISSN: 0167-6687
Publisher: Elsevier
Start Page: 27
End Page: 39
Journal / Book Title: Insurance Mathematics & Economics
Volume: 71
Copyright Statement: © 2016, Elsevier. Licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International http://creativecommons.org/licenses/by-nc-nd/4.0/
Keywords: Social Sciences
Science & Technology
Physical Sciences
Mathematics, Interdisciplinary Applications
Social Sciences, Mathematical Methods
Statistics & Probability
Business & Economics
Mathematical Methods In Social Sciences
Bailout strategy
Phase-type distribution
Ruin probability
Sparre Andersen dependence structure
Busy period
01 Mathematical Sciences
14 Economics
15 Commerce, Management, Tourism And Services
Publication Status: Published
Appears in Collections:Financial Mathematics
Faculty of Natural Sciences