- Economics - Research Publications
Economics - Research Publications
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ItemThe density of the time to ruin for a Sparre Andersen process with Erlang arrivals and exponential claimsDickson, David C. M. ; Hughes, Barry D. ; Lianzeng, Zhang ( 2003-10)We derive expressions for the density of the time to ruin given that ruin occurs in a Sparre Andersen model in which individual claim amounts are exponentially distributed and inter-arrival times are distributed as Erlang(n, β). We provide numerical illustrations of finite time ruin probabilities, as well as illustrating features of the density functions.
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ItemDe Vylder Approximations to the Moments and Distribution of the Time to RuinDickson, David C M ; Wong, Kwok Swan ( 2004-02)De Vylder (1978) proposed a method of approximating the probability of ultimate ruin in the classical risk model. In this paper we show that his ideas can be extended to approximate the moments and distribution of the time to ruin
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ItemOptimal Dividends under a Ruin ProbabilityConstraintDickson, David CM ; Drekic, Steve ( 2005-10)We consider a classical surplus process modified by the paymentof dividends when the insurer’s surplus exceeds a threshold. We use aprobabilistic argument to obtain general expressions for the expected present value of dividend payments, and show how these expressions can be applied for certain individual claim amount distributions. We then consider the question of maximising the expected present valueof dividend payments subject to a constraint on the insurer’s ruin probability.
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ItemOptimal dynamic reinsuranceDickson, David CM ; Waters, Howard R ( 2006-01)We consider a classical surplus process where the insurer can choosea different level of reinsurance at the start of each year. We assume theinsurer’s objective is to minimise the probability of ruin up to somegiven time horizon, either in discrete or continuous time. We developformulae for ruin probabilities under the optimal reinsurance strategy,i.e. the optimal retention each year as the surplus changes andthe period until the time horizon shortens. For our compound Poissonprocess, it is not feasible to evaluate these formulae, and hencedetermine the optimal strategies, in any but the simplest cases. Weshow how we can determine the optimal strategies by approximatingthe (compound Poisson) aggregate claims distributions by translatedgamma distributions, and, alternatively, by approximating the compoundPoisson process by a translated gamma process.