We consider a generalization of the classical ruin model to a dependent setting, where the distribution of the time between two claim occurrences depends on the previous claim size. Exact analytical expressions for the Laplace transform of the ruin function are derived. The results are illustrated by several examples.

The paper incorporates liquid reserves, interest and dividends in the compound Poisson surplus model. When an insurer’s surplus is below a certain level, it is kept as liquid reserves. As the surplus attains the level, the excess of the surplus above the level will earn interest at a constant interest rate. If the surplus continues to surpass a higher level, the excess of the surplus above this...

In this short paper, we show how uctuation identities for Lévy processes with no positive jumps yield the distribution of the present value of dividend payments until ruin in a Lévy insurance risk model with a dividend barrier.

We consider a risk model with threshold strategy, where the insurance company pays off a certain percentage of the income as dividend whenever the current surplus is larger than a given threshold. We investigate the ruin time, ruin probability, and the total dividend, using methods and results from queueing theory.

In this paper, we establish a simple asymptotic formula for the finite-time ruin probability of the renewal model with risky investment in the case that the claimsize is subexponentially distributed and the initial capital is large. The result is consistent with known results for the ultimate and finitetime ruin probability and, particularly, is inconsistent with the corresponding Poisson risk ...

In ruin theory, the univariate model may be found too restrictive to describe accurately the complex evolution of the reserves of an insurance company. In the case where the company is composed of multiple lines of business, we compute asymptotics of finite-time ruin probabilities. Capital transfers between lines are partially allowed. When claim amounts are regularly varying distributed, sever...

Recent studies have demonstrated an interesting connection between the asymptotic behavior at ruin of a Lévy insurance risk process under the Cramér-Lundberg and convolution equivalent conditions. For example the limiting distributions of the overshoot and the undershoot are strikingly similar in these two settings. This is somewhat surprising since the global sample path behavior of the proces...