Academic Journal
Based on Symmetric Jump Risk Market: Study on the Ruin Problem of a Risk Model with Liquid Reserves and Proportional Investment
| العنوان: | Based on Symmetric Jump Risk Market: Study on the Ruin Problem of a Risk Model with Liquid Reserves and Proportional Investment |
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| المؤلفون: | Chunwei Wang, Shujing Wang, Jiaen Xu, Shaohua Li |
| المصدر: | Symmetry, Vol 16, Iss 5, p 612 (2024) |
| بيانات النشر: | MDPI AG |
| سنة النشر: | 2024 |
| المجموعة: | Directory of Open Access Journals: DOAJ Articles |
| مصطلحات موضوعية: | liquid reserves, threshold strategy, proportional investment, expected discounted penalty function, sinc method, Mathematics, QA1-939 |
| الوصف: | In order to deal with complex risk scenarios involving claims, uncertainty, and investments, we consider the ruin problems in a compound Poisson risk model with liquid reserves and proportional investments and study the expected discounted penalty function under threshold dividend strategies. Firstly, the integral differential equation of the expected discounted penalty function is derived. Secondly, since the closed-form solution of the equation cannot be obtained, a sinc method is used to obtain the numerical approximation solution of the equation. Finally, the feasibility and superiority of the sinc method are illustrated by error analysis. In addition, based on a symmetric jump risk market, we discuss the influence of some parameters on the ruin probability with some examples. This study can help actuaries develop more robust risk management strategies and ensure the long-term stability and profitability of insurance companies. It provides a theoretical basis for actuaries to carry out risk management. |
| نوع الوثيقة: | article in journal/newspaper |
| اللغة: | English |
| تدمد: | 2073-8994 |
| Relation: | https://www.mdpi.com/2073-8994/16/5/612; https://doaj.org/toc/2073-8994; https://doaj.org/article/c644cfd2cf014eefad08a59876a71617 |
| DOI: | 10.3390/sym16050612 |
| الاتاحة: | https://doi.org/10.3390/sym16050612 https://doaj.org/article/c644cfd2cf014eefad08a59876a71617 |
| رقم الانضمام: | edsbas.AD44FAFA |
| قاعدة البيانات: | BASE |
Full Text Finder | تدمد: | 20738994 |
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| DOI: | 10.3390/sym16050612 |