Optimal prevention of large risks with two types of claims

DOI10.1080/03461238.2020.1844791zbMath1476.91126OpenAlexW2989564723MaRDI QIDQ5003354

Romain Gauchon, Jean-Louis Rullière, Julien Trufin, Stéphane Loisel

Publication date: 21 July 2021

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2020.1844791

zbMATH Keywords

insuranceruin theorypreventionoptimal prevention strategy

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cites Work

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• Self-insurance, self-protection and increased risk aversion
• Optimal prevention and other risks in a two-period model
• Multivariate prevention decisions: safe today or sorry tomorrow?
• Stochastic orders
• The probability and severity of ruin for combinations of exponential claim amount distributions and their translations
• Optimal prevention strategies in the classical risk model
• Exact solutions for ruin probability in the presence of an absorbing upper barrier