Degree
Doctor of Philosophy
Program
Statistics and Actuarial Sciences
Supervisor
Dr. Kristina P. Sendova
Abstract
Abstract This thesis focuses on developing and computing ruin-related quantities that are potentially measurements for the dual risk models which was proposed to describe the annuity-type businesses from the perspective of the collective risk theory in 1950’s. In recent years, the dual risk models are revisited by many researchers to quantify the risk of the similar businesses as the annuity-type businesses. The major extensions included in this thesis consist of two aspects: the first is to search for new ruin-related quantities that are potentially indices of the risk for well-established dual models; the other aspect is to generalize the settings of the dual models instead of the ruin quantities. There are four separate articles in this thesis, in which the first (Chapter 2) and the last (Chapter 5) belong to the first type of extensions while the others (Chapter 3 and Chapter 4) belong to the generalizations of the dual models.
The first article (Chapter 2) studies the discounted moments of the surplus at the time of the last jump before ruin for the compound Poisson dual risk model. The idea comes from that the ruin of the compound Poisson dual models is caused by absence of positive jumps within a period with length being propotional to the surplus at the time of the last jump. As a quantity related to a non-stopping time, the explicit expression of the target quantity is obtained through integro-differential equations.
The second article (Chapter 3) investigate the Sparre-Andersen dual risk models in which the epochs are independently, identically distributed generalized Erlang-n random variables. An important difference between this model and some other models such as the Erlang-n dual risk models is that the roots to the generalized Lundberg’s equation are not necessarily distinct. By taking the multiple roots into account, the explicit expressions of the Laplace transform of the time to ruin and expected discounted aggregate dividends under the threshold strategy and exponential distributed revenues are derived.
The third article (Chapter 4) revisits the the dual Lévy risk model. The target ruin quantity is the expected discounted aggregate dividends paid up to ruin under the threshold dividend strategy. The explicit expression is obtained in terms of the q-scale functions through constructing a new dividend strategy having the target ruin quantity converging to that under the threshold strategy. Also, the optimality of the threshold strategy among all the absolutely continuous stategies when evaluating the target quantity as a value function is discussed.
The fourth article (Chapter 5) initiate the study of the Parisian ruin problem for the general dual Lévy risk models. Unlike the regular ruin for the dual models, the deficit at Parisian ruin is not necessarily equal to zero. Hence we introduce the Gerber-Shiu expected discounted penalty function (EPDF) at the Parisian ruin and obtain an explicit expression for this function. Keywords: Sparre-Andersen dual models, expected discounted aggregate dividends, dual Levy risk models, Parisian ruin, Gerber-Shiu function iii
Recommended Citation
Yang, Chen, "On the Dual Risk Models" (2015). Electronic Thesis and Dissertation Repository. 3079.
https://ir.lib.uwo.ca/etd/3079