Time of ruin in a risk model with generalized Erlang (n) interclaim times and a constant dividend barrier

In this paper we analyze the time of ruin in a risk process with the interclaim times being Erlang(n) distributed and a constant dividend barrier. We obtain an integro-differential equation for the Laplace Transform of the time of ruin. Explicit solutions for the moments of the time of ruin are presented when the individual claim amounts have a distribution with rational Laplace transform. Finally, some numerical results and a compare son with the classical risk model, with interclaim times following an exponential distribution, are given.risk theory, constant dividend barrier, laplace transform, time of ruin, generalized erlang (n) distribution

Discrete analysis of dividend payments in a non-life insurance portfolio

The process of free reserves in a non-life insurance portfolio as defined in the classical model of risk theory is modified by the introduction of dividend policies that set maximum levels for the accumulation of reserves. The first part of the work formulates the quantification of the dividend payments via the expectation of their current value under different hypotheses. The second part presents a solution based on a system of linear equations for discrete dividend payments in the case of a constant dividend barrier, illustrated by solving a specific case.dividend policies, expected present value

Politicas de dividendos y probabilidad de ruina

In this paper we introduce different kinds of dividend barriers in the classical model ruin theory. We study the influence of barrier strategy on ruin probability. A method based on renewal equations [Grandell (1991)], alternative to differential argument [Gerber (1975)], is used to get the partial differential equations to solve survival probabilities. Finally we calculate and compare the survival probabilities using the linear and the parabolic dividend barrier, with help of simulation.ruin, survival probability, theory, dividend barriers