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On the time to ruin for a dependent delayed capital injection risk model

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  • Ramsden, Lewis
  • Papaioannou, Apostolos D.

Abstract

In this paper, we propose a generalisation to the Cramér–Lundberg risk model, by allowing for a delayed receipt of the required capital injections whenever the surplus of an insurance firm is negative. Delayed capital injections often appear in practice due to the time taken for administrative and processing purposes of the funds from a third party or the shareholders of an insurance firm.

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  • Ramsden, Lewis & Papaioannou, Apostolos D., 2019. "On the time to ruin for a dependent delayed capital injection risk model," Applied Mathematics and Computation, Elsevier, vol. 352(C), pages 119-135.
    • Handle: RePEc:eee:apmaco:v:352:y:2019:i:c:p:119-135
    DOI: 10.1016/j.amc.2019.01.028
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    References listed on IDEAS

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    1. Dickson, D. C. M. & Drekic, S., 2006. "Optimal Dividends Under a Ruin Probability Constraint," Annals of Actuarial Science, Cambridge University Press, vol. 1(2), pages 291-306, September.
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    3. Nie, Ciyu & Dickson, David C. M. & Li, Shuanming, 2011. "Minimizing the ruin probability through capital injections," Annals of Actuarial Science, Cambridge University Press, vol. 5(2), pages 195-209, September.
    4. David Landriault & Gordon Willmot, 2009. "On the Joint Distributions of the Time to Ruin, the Surplus Prior to Ruin, and the Deficit at Ruin in the Classical Risk Model," North American Actuarial Journal, Taylor & Francis Journals, vol. 13(2), pages 252-270.
    5. Gerber, Hans U. & Goovaerts, Marc J. & Kaas, Rob, 1987. "On the Probability and Severity of Ruin," ASTIN Bulletin, Cambridge University Press, vol. 17(2), pages 151-163, November.
    6. Zhou, Ming & Yuen, Kam C., 2015. "Portfolio Selection By Minimizing The Present Value Of Capital Injection Costs," ASTIN Bulletin, Cambridge University Press, vol. 45(1), pages 207-238, January.
    7. Kulenko, Natalie & Schmidli, Hanspeter, 2008. "Optimal dividend strategies in a Cramér-Lundberg model with capital injections," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 270-278, October.
    8. Zhou, Ming & Yuen, Kam C., 2012. "Optimal reinsurance and dividend for a diffusion model with capital injection: Variance premium principle," Economic Modelling, Elsevier, vol. 29(2), pages 198-207.
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    Cited by:

    1. Liu, Zhang & Chen, Ping & Hu, Yijun, 2020. "On the dual risk model with diffusion under a mixed dividend strategy," Applied Mathematics and Computation, Elsevier, vol. 376(C).
    2. Zhang, Aili & Chen, Ping & Li, Shuanming & Wang, Wenyuan, 2022. "Risk modelling on liquidations with Lévy processes," Applied Mathematics and Computation, Elsevier, vol. 412(C).
    3. A. S. Dibu & M. J. Jacob & Apostolos D. Papaioannou & Lewis Ramsden, 2021. "Delayed Capital Injections for a Risk Process with Markovian Arrivals," Methodology and Computing in Applied Probability, Springer, vol. 23(3), pages 1057-1076, September.
    4. Abouzar Bazyari, 2023. "On the Ruin Probabilities in a Discrete Time Insurance Risk Process with Capital Injections and Reinsurance," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(2), pages 1623-1650, August.

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