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Optimal insurance strategies in a risk process with restrictions on policyholder risks
optimal choice problem risk-bearing function an insurer dynamic insurance model maximizing unit utility
2011/9/6
We consider the optimal choice problem by a risk-bearing function for an insurer to divide risks between him and his clients in a dynamic insurance model, the so-called Cramer-Lundberg risk process. I...
Optimal control of risk process in a regime switching environment
Regime switching diffusion continuity value function exit time
2010/10/21
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism...
Dividend problem with Parisian delay for a spectrally negative Lévy risk process
L´ evy process ruin probability asymptotics Parisian ruin
2010/10/19
In this paper we consider dividend problem for an insurance company whose risk evolves as a spectrally negative L\'{e}vy process (in the absence of dividend payments) when Parisian delay is applied. ...
Dividend problem with Parisian delay for a spectrally negative Lévy risk process
Levy process ruin probability asymptotics Parisian ruin risk process
2010/4/28
In this paper we consider dividend problem for an insurance company whose risk evolves as a spectrally negative L\'{e}vy process (in the absence of dividend payments) when Parisian delay is applied. T...
Ruin probability with Parisian delay for a spectrally negative Lévy risk process
L´ evy process ruin probability asymptotics Parisian ruin
2010/10/19
In this paper we analyze so-called Parisian ruin probability that happens when surplus process stays below zero longer than fixed amount of time $\zeta>0$. We focus on general spectrally negative L\'...
Ruin probability with Parisian delay for a spectrally negative Lévy risk process
Levy process ruin probability asymptotics Parisian ruin risk process
2010/4/27
In this paper we analyze so-called Parisian ruin probability that happens when surplus process stays below zero longer than fixed amount of time $\zeta>0$. We focus on general spectrally negative L\'{...