The main purpose of this paper is a risk theory insight into the problem of asset-liability and solvency adaptive management. In the multiperiodic insurance risk model composed of chained classical risk models, a zone-adaptive control strategy, essentially similar to that applied in Directives...

The paper is devoted to risk theory insight into the problem of asset-liability and solvency adaptive management. Two adaptive control strategies in the multiperiodic insurance risk model composed of chained classical risk models are introduced and their performance in terms of probability of...

type="main" xml:lang="en" <title type="main">Abstract</title> <p>This article addresses the fundamental observation that aggressive newcom- ers seeking greater market share trigger the industry response of reducing rates that may gradually fall below marginal cost. In this study, the concept of reflexivity as connection...</p>

Ruin capital is a function of premium rate set to render the probability of ruin within finite time equal to a given value. The analytical studies of this function in the classical Lundberg model of risk with exponential claim sizes done in Malinovskii (2014) have shown that the ruin capital’s...

In a diffusion model of risk, we focus on the initial capital needed to make the probability of ruin within finite time equal to a prescribed value. It is defined as a solution of a nonlinear equation. The endeavor to write down and to investigate analytically this solution as a function of the...

In insurance two major types of cycles are known: (a) regular many years long up- and down-swings referred to as underwriting cycles and (b) irregular short-range fluctuations. The key rationale of the underwriting cycles is migration of insureds triggered by the insurers’ price competition...

This paper deals with ruin capital uα,t(c∣λ,μ) in the classical Lundberg model of risk. It is defined as the initial capital needed to keep the probability of ruin within finite time t equal to a predefined value α. Considered as a decreasing function of premium rate c, the ruin capital is...