Optimal dividends and reinsurance with capital injection under thinning dependence

Chen, Mi; Zhou, Ming; Liu, Haiyan; Yuen, Kam Chuen

doi:10.1080/03610926.2020.1845737

Cited by 4 publications

(2 citation statements)

References 33 publications

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“…[ 3 , 4 ] studied the dependence among individual risks, Refs. [ 5 , 6 ] discussed the two-dimensional risk models with dependent surplus processes, and [ 7 , 8 ] examined the risk models that have multiple classes of insurance business with thinning dependence structure. The relevant results have been used in a variety of actuarial areas, including, among others, value at risk, dividend strategies, reinsurance, capital allocation, etc.…”

Section: Introductionmentioning

confidence: 99%

Ruin Analysis on a New Risk Model with Stochastic Premiums and Dependence Based on Time Series for Count Random Variables

Guo

Wang

2023

Entropy

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In this paper, we propose a new discrete-time risk model of an insurance portfolio with stochastic premiums, in which the temporal dependence among the premium numbers of consecutive periods is fitted by the first-order integer-valued autoregressive (INAR(1)) process and the temporal dependence among the claim numbers of consecutive periods is described by the integer-valued moving average (INMA(1)) process. To measure the risk of the model quantitatively, we study the explicit expression for a function whose solution is defined as the Lundberg adjustment coefficient and give the Lundberg approximation formula for the infinite-time ruin probability. In the case of heavy-tailed claim sizes, we establish the asymptotic formula for the finite-time ruin probability via the large deviations of the aggregate claims. Two numerical examples are provided in order to illustrate our theoretical findings.

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Section: Introductionmentioning

confidence: 99%

Ruin Analysis on a New Risk Model with Stochastic Premiums and Dependence Based on Time Series for Count Random Variables

Guo

Wang

2023

Entropy

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“…In recent years, optimal dividend and reinsurance problems have received great attention. For example, Liang and Young [13] study the optimal dividend strategy under bankruptcy penalty and the optimal proportional reinsurance strategy when expensive reinsurance is available; Yao et al [18] develop the dynamic control dividend reinsurance and refinancing strategies which need to bear proportionate and fixed transaction costs; Chen et al [5] use the variance premium principle to study the optimal dividend and reinsurance problems in the diffusion approximation risk model with a refined dependency structure.…”

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confidence: 99%

Robust optimal dividend and reinsurance under model uncertainty

Zhao,

Gong

2024

MFC

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This paper considers the optimal dividend and reinsurance problem in presence of model uncertainty. The aim is to find a robust strategy of dividend and reinsurance to maximize the expected cumulative discounted dividend until ruin. Moreover, we penalize the expectation with an entropic term that accounts for the insurer's ambiguity concerning the risk model. By dynamic programming principle, we obtain the explicit optimal robust control strategy and the value function. Specially, the optimal strategy is to pay out any surplus immediately as dividends and then declare ruin when the insurer is highly averse enough to ambiguity. Finally, some numerical examples are presented to illustrate our results.

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Non-zero-sum reinsurance and investment game under thinning dependence structure: mean–variance premium principle

Zhang,

Liang

2024

Scandinavian Actuarial Journal

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Optimal dividends and reinsurance with capital injection under thinning dependence

Cited by 4 publications

References 33 publications

Ruin Analysis on a New Risk Model with Stochastic Premiums and Dependence Based on Time Series for Count Random Variables

Ruin Analysis on a New Risk Model with Stochastic Premiums and Dependence Based on Time Series for Count Random Variables

Robust optimal dividend and reinsurance under model uncertainty

Non-zero-sum reinsurance and investment game under thinning dependence structure: mean–variance premium principle

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