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Regulated absolute ruin problem with interest structure and linear dividend barrier

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  • Li, Manman
  • Liu, Zaiming

Abstract

The uncontrolled surplus of an insurance company is a classical risk model. Now the risk model includes three features, namely debit interest, short-term and long-term invested interest, and linear dividend barrier. In this paper, the PDMP method and martingales are used for solvency studies in the risk model under regulation of minimum cash requirement. The integro-differential equations are derived for the expected discounted dividends under absolute ruin. In the case of exponential claim amounts, explicit expressions are obtained, as well as the numerical illustrations and their economic interpretation.

Suggested Citation

  • Li, Manman & Liu, Zaiming, 2012. "Regulated absolute ruin problem with interest structure and linear dividend barrier," Economic Modelling, Elsevier, vol. 29(5), pages 1786-1792.
    • Handle: RePEc:eee:ecmode:v:29:y:2012:i:5:p:1786-1792
    DOI: 10.1016/j.econmod.2012.04.013
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    References listed on IDEAS

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    Cited by:

    1. Yu, Wenguang, 2013. "Some results on absolute ruin in the perturbed insurance risk model with investment and debit interests," Economic Modelling, Elsevier, vol. 31(C), pages 625-634.

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