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Risks 2016, 4(1), 2; doi:10.3390/risks4010002

Ruin Analysis of a Discrete-Time Dependent Sparre Andersen Model with External Financial Activities and Randomized Dividends

Department of Statistics & Actuarial Science, University ofWaterloo, 200 University Avenue West, Waterloo, ON N2L 3G1, Canada
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Academic Editor: Mogens Steffensen
Received: 18 September 2015 / Accepted: 20 January 2016 / Published: 3 February 2016
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Abstract

We consider a discrete-time dependent Sparre Andersen risk model which incorporates multiple threshold levels characterizing an insurer’s minimal capital requirement, dividend paying situations, and external financial activities. We focus on the development of a recursive computational procedure to calculate the finite-time ruin probabilities and expected total discounted dividends paid prior to ruin associated with this model. We investigate several numerical examples and make some observations concerning the impact our threshold levels have on the finite-time ruin probabilities and expected total discounted dividends paid prior to ruin. View Full-Text
Keywords: Sparre Andersen model; randomized dividends; ruin probability; threshold level Sparre Andersen model; randomized dividends; ruin probability; threshold level
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This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

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Kim, S.S.; Drekic, S. Ruin Analysis of a Discrete-Time Dependent Sparre Andersen Model with External Financial Activities and Randomized Dividends. Risks 2016, 4, 2.

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