Moments of deficit duration and its proportion in general compound binomial model
The authors discuss the deficit (negative surplus) duration in the general compound binomial model and derive recursive formulas of \(r\)-th moments of the deficit duration and its proportion in finite time with and without a dividend barrier. Under the condition of positive safety loading, they consider the limit of deficit duration and show the convergence of moments of its proportion. In addition, the paper also discusses a sort of reinsurance strategy to significantly reduce the deficit duration. The proposed algorithms and reinsurance strategy are effective and are illustrated by numerical examples.
scientific article; zbMATH DE number 7630833