Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/167876
Authors: 
Kim, Sung Soo
Drekic, Steve
Year of Publication: 
2016
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 4 [Year:] 2016 [Issue:] 1 [Pages:] 1-15
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.
Subjects: 
Sparre Andersen model
randomized dividends
ruin probability
threshold level
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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