Two-sided exit problems in the ordered risk model

Pierre-Olivier Goffard (1)

1 UC Santa Barbara - University of California [Santa Barbara]

The insurance risk model in the presence of two horizontal absorbing barriers is considered. The lower barrier is the usual ruin barrier while the upper one corresponds to the dividend barrier. The distribution of two first-exit times of the risk process from the strip between the two horizontal lines is under study. The claim arrival process is governed by an Order Statistic Point Process (OSPP) which enables the derivation of formulas in terms of the joint distribution of the order statistics of a sample of uniform random variables.

Mots clés: Order statistic property; Joint distribution of order statistics; Finite-time ruin probabilities; First-exit time; Risk theory; ueywordsX Order statistic property

Domaines: Probabilités [math.PR]; Statistiques [math.ST]; Gestion des risques [q-fin.RM]

Pierre-Olivier Goffard. Two-sided exit problems in the ordered risk model. Methodology and Computing in Applied Probability, 2019, 21 (2), pp.539-549. ⟨10.1007/s11009-017-9606-z⟩. ⟨hal-01528204v2⟩