Research projects

Project CEMAPRE internal

TitleRuin and dividend problems in the primal and dual risk models, for application in actuarial science and finance. Continuation.
ParticipantsRenata Alcoforado, Alana Azevedo de Macedo, Agnieszka Bergel, Rui M.R. Cardoso, Alfredo Egídio dos Reis (Principal Investigator), Mónica Martinho, Eugenio Rodriguez Martinez
SummaryIn Risk Theory for insurance application, the calculation of ruin probabilities for an insurance
portfolio is essential both for risk assessment and premium calculation. Classical Ruin Theory has
focused on the Carmér-Lundberg risk model, or Primal Model. Related to this, the Dual Risk Model
was developed more recently, with applications to Finance. We have managed to work together the two
models, enhancing its connections [see Afonso et al. (2013)]. We started first with the compound
Poisson model, later we generalised for some other sort of renewal models, Erlang and Phase-type
[see Rodriguez-M. et al. (2015) and Bergel et al. (2016)].
The Primal Model was developed for applications the insurance business and the Dual Model for some
sorts of finance problems, an example is modeling the capital of an economic activity involved in
research and development [e.g. see Bayraktar & Egami (2008)]. See also Bergel and Egidio dos Reis
This work is a 3 year project. We refer to our 2017 Ruin Theory project. In 2018 we will continue
and complete with the phase-type renewal models and develop claim dependence [see Li et al. (2017)].
In the dual approach we complete the evaluation of the probability of getting a dividend, and the
distribution of a single dividend. We keep working on dividend strategies, such as the maximisation
of the expected discounted future dividends. For all this we follow the lines given by Afonso et al.
(2011). Also, we intend to work on the "Gerber-Shiu (2005) type" transforms adapted to the dual
model, in the primal model we consider the study of the duration of a negative surplus and consider
Parisian ruin.