Ramasubramanian, S. (2011) Multidimensional insurance model with risk-reducing treaty Stochastic Models, 27 (3). pp. 363-387. ISSN 1532-6349
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Official URL: http://www.tandfonline.com/doi/abs/10.1080/1532634...
Related URL: http://dx.doi.org/10.1080/15326349.2011.593399
Abstract
A multidimensional insurance model is proposed in terms of Skorokhod problem in an orthant, to describe the dynamics of d companies operating under a risk-reducing treaty. Investment in risky assets and fluctuations can also be incorporated into the model. No assumptions on moments of claims are needed. The coefficients can depend on the 'pushing part' also. Wellposedness of the model is established. In the case of some Markovian examples, the infinitesimal generators are identified; an interesting aspect is the appearance of the linear complementarity problem in the generator.
| Item Type: | Article |
|---|---|
| Source: | Copyright of this article belongs to Taylor and Francis Group. |
| Keywords: | Amount Needed to Avert Ruin; Cramer-Lundberg Model; Dispersion; Drift; Feller Property; Infinitesimal Generator; Linear Complementarity Problem; Pure Jump Process; Pushing Part; Multidimensional Risk Process; Reflection; SDE; Skorokhod Problem in an Orthant; Spectral Radius; Strong Markov Property; Surplus |
| ID Code: | 92801 |
| Deposited On: | 04 Jun 2012 13:50 |
| Last Modified: | 04 Jun 2012 13:50 |
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