In this paper we consider two-dimensional risk models where the claim counting processes of the two classes of business are assumed to be Poisson processes. We assume that the dividends are paid because of the presence of a reflecting upper barrier. Furthermore, in order to avoid ruin, we consider dynamic solvency insurance contracts that depend on two different definitions of time of ruin. We present a rather general model and, under different assumptions, we obtain the equations fulfilled by the discounted dividend payments and by the net single premium of dynamic solvency insurance. We also derive some boundary conditions and provide explicit solutions for some special cases.

Dividends and Dynamic Solvency Insurance in Two-Dimensional Risk Models

Gosio, Cristina;Lari, Ester C.;Ravera, Marina;Torrente, Maria-Laura
2018

Abstract

In this paper we consider two-dimensional risk models where the claim counting processes of the two classes of business are assumed to be Poisson processes. We assume that the dividends are paid because of the presence of a reflecting upper barrier. Furthermore, in order to avoid ruin, we consider dynamic solvency insurance contracts that depend on two different definitions of time of ruin. We present a rather general model and, under different assumptions, we obtain the equations fulfilled by the discounted dividend payments and by the net single premium of dynamic solvency insurance. We also derive some boundary conditions and provide explicit solutions for some special cases.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11567/937601
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