No abstract

No abstract

We consider a risk model where deficits after ruin are covered by a new type of reinsurance contract that provides capital injections. To allow the insurance company's survival after ruin, the reinsurer injects capital only at ruin times caused by jumps larger than a chosen retention level. Otherwise capital must be raised from the shareholders for small deficits. The problem here is to determine adequate reinsurance premiums. It seems fair to base the net reinsurance premium on the discounted expected value of any future capital injections. Inspired by the results of Huzak et al. (2004) and Ben Salah (2014) on successive ruin events, we show that an explicit formula for these reinsurance premiums exists in a setting where aggregate claims are modeled by a subordinator and a Brownian perturbation. Here ruin events are due either to Brownian oscillations or jumps and reinsurance capital injections only apply in the latter case. The results are illustrated explicitly for two specific risk models and in some numerical examples.

This paper deals with the characterization problem of the minimal entropy martingale measure (MEMM) for a Markov-modulated exponential Lévy model. This model is characterized by the presence of a background process modulating the risky asset price movements between different regimes or market environments. This allows to stress the strong dependence of financial assets price with structural changes in the market conditions. Our main results are obtained from the key idea of working conditionally on the modulator-factor process. This reduces the problem to studying the simpler case of processes with independent increments. Our work generalizes some previous works in the literature dealing with either the exponential Lévy case or the exponential-additive case.

No abstract