1. Finite-time expected present value of operating costs until ruin in a bivariate risk model under periodic observation
- Author
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Xie, Jiayi, Teng, Ye, and Zhang, Zhimin
- Abstract
In this paper, we examine a bivariate insurance risk model that incorporates two distinct business lines. The model encompasses both independent aggregate claims and common shocks to represent the interdependence between losses in these two lines of business. The monitoring of the bivariate risk model occurs periodically, with constant inter-observation intervals. During each observation, dividends may be distributed using a barrier strategy in both business lines. To evaluate the expected present value of operating costs until ruin, we employ the two-dimensional Fourier-cosine series expansion as an approximation technique. The paper derives explicit approximation formulas and conducts an analysis of the approximation errors. In addition, numerous numerical results are presented to demonstrate the effectiveness of our method, and we examine the impacts of various parameters in the model. At the same time, we also study the problem of capital allocation and the optimal dividend barrier problem for bivariate processes.
- Published
- 2024
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