Reports Outline Insurance Economics Study Findings from University of Melbourne (On the occupation times in a delayed Sparre Andersen risk model with…

Reports Outline Insurance Economics Study Findings from University of Melbourne (On the occupation times in a delayed Sparre Andersen risk model with exponential claims)

By a News Reporter-Staff News Editor at Insurance Weekly News -- Investigators publish new report on Economics - Insurance Economics. According to news reporting originating in Melbourne, Australia, by VerticalNews journalists, research stated, "In this paper, we study the joint Laplace transform of the occupation times in disjoint intervals until ruin in a delayed Sparre Andersen risk model with general inter-claim times and exponential claims. We extend the transformation method in the literature and apply the theoretical fluctuation techniques to derive an explicit expression of the joint Laplace transform under consideration."

The news reporters obtained a quote from the research from the University of Melbourne, "Further, with the presence of a constant dividend barrier, we derive explicit expressions for the Laplace transforms of the time of ruin and the non-dividend paying duration, namely the total length of non-dividend paying periods prior to ruin. This quantity is of practical interest but has not been studied in the literature to date. Within this paper, all of the Laplacetransforms are expressed in terms of scale functions associated with the given spectrally negative Levy process."

According to the news reporters, the research concluded: "Numerical examples are also provided at the end of this paper regarding the Laplace transform of the non-dividend paying duration to illustrate how the distribution of this occupation time behaves in response to varying parameters and the impact of delay on the occupation times comparing with an ordinary Sparre Andersen risk model."

For more information on this research see: On the occupation times in a delayed Sparre Andersen risk model with exponential claims. Insurance Mathematics & Economics, 2016;71():304-316. Insurance Mathematics & Economics can be contacted at: Elsevier Science Bv, PO Box 211, 1000 Ae Amsterdam, Netherlands.

Our news correspondents report that additional information may be obtained by contacting X.Y. Wu, University of Melbourne, Center Actuarial Studies, Melbourne, Vic 3010, Australia. Additional authors for this research include S.M. Li and X.Y. Wu.

Keywords for this news article include: Melbourne, Australia, Australia and New Zealand, Insurance Economics, Economics, University of Melbourne.

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