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Ruin theory with risk proportional to the free reserve and securitization

✍ Scribed by Thomas Siegl; Robert F. Tichy

Book ID
104300213
Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
190 KB
Volume
26
Category
Article
ISSN
0167-6687

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✦ Synopsis

A model is proposed for addressing investment risk of the free reserve, in the form of credit or currency risk. This risk is expressed by a constant factor Ξ± that represents the recovery rate of a bond or a devaluation factor. Securitization (e.g. with a CAT-bond like product) yields a constant amount K upon such an event. The model equation is an integro-differential equation with deviating arguments. We compute the analytical solution for the probability of survival and also show results of simulations using quasi-Monte Carlo methods.

πŸ“œ SIMILAR VOLUMES

The first exit time and ruin time for a
The first exit time and ruin time for a risk process with reserve-dependent income
✍ Sung Nok Chiu; Chuan Cun Yin πŸ“‚ Article πŸ“… 2002 πŸ› Elsevier Science 🌐 English βš– 120 KB

This paper investigates the ΓΏrst exit time and the ruin time of a risk reserve process with reserve-dependent income under the assumption that the claims arrive as a Poisson process. We show that the Laplace transform of the distribution of the ΓΏrst exit time from an interval satisΓΏes an integro-di