What is it about?
The optimal management of reserves in an insurance business is a difficult and well studied problem. Regulators require that the amounts in reserve guarantee the solvency of the scheme, while policyholders push for lowering premiums, and hence the resulting reserves, when the claims experience is favourable. The paper extends the solutions already obtained in the literature to a quite general setting; Parisian ruin for a jump-diffusion process (spectrally negative Levy risk process) with a penalty payment at Parisian ruin time if it occurs.
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Why is it important?
The solvency of insurance companies is crucial in a healthy economy. The study of multiple solvency criteria can only help to provide early warnings and avoid bankruptcies.
Perspectives
The project was completed during a research visit of Wenyuan Wang at Concordia University in Montreal, coinciding with the year that Ran Xu was a postdoctoral fellow in the same Department of Mathematics and Statistics.
Distinguished Professor Emeritus Jose Garrido
Concordia University
Read the Original
This page is a summary of: Optimal Dividend Strategy Under Parisian Ruin with Affine Penalty, Methodology And Computing In Applied Probability, May 2021, Springer Science + Business Media,
DOI: 10.1007/s11009-021-09865-7.
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