Simulation methods in ruin models with nonlinear dividend barriers.

DOI10.1016/S0378-4754(02)00225-2zbMath1036.91029MaRDI QIDQ1873021

Reinhold Kainhofer, Robert F. Tichy, Hansjoerg Albrecher

Publication date: 19 May 2003

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

zbMATH Keywords

QMC methodsCollective risk modelDividend barrier strategies

Mathematics Subject Classification ID

Related Items (15)

On the occupation times in a delayed Sparre Andersen risk model with exponential claims ⋮ The perturbed compound Poisson risk model with constant interest and a threshold dividend strategy ⋮ On the dividends of the risk model with Markovian barrier ⋮ Optimizing expected utility of dividend payments for a Brownian risk process and a peculiar nonlinear ODE ⋮ Risk Theory with Affine Dividend Payment Strategies ⋮ On the uniform distribution modulo 1 of multidimensional LS-sequences ⋮ An insurance risk model with stochastic volatility ⋮ A Numerical Approach to Ruin Models with Excess of Loss Reinsurance and Reinstatements * ⋮ The perturbed Sparre Andersen model with a threshold dividend strategy ⋮ Ruin theory with excess of loss reinsurance and reinstatements ⋮ Stochastic successive approximation method for assessing the insolvency risk of an insurance company ⋮ Review of statistical actuarial risk modelling ⋮ On the distribution of dividend payments and the discounted penalty function in a risk model with linear dividend barrier ⋮ On the distribution of dividend payments in a Sparre Andersen model with generalized Erlang(\(n\)) interclaim times ⋮ Strategies for Dividend Distribution: A Review

Cites Work

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• Quasi-Monte Carlo Methods for Numerical Integration: Comparison of Different Low Discrepancy Sequences
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