Minimal Solutions to Reflected Jump Processes with Reinsurance Application

Research Paper #Stochastic Processes, Finance, Reinsurance 🔬 Research|Analyzed: Jan 3, 2026 09:25•

Published: Dec 30, 2025 22:23

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1 min read

Analysis

This paper extends existing work on reflected processes to include jump processes, providing a unique minimal solution and applying the model to analyze the ruin time of interconnected insurance firms. The application to reinsurance is a key contribution, offering a practical use case for the theoretical results.

Key Takeaways

•Extends the analysis of particle systems to jump driving processes.
•Provides a unique minimal strong solution.
•Applies the model to study the ruin time of interconnected insurance firms.
•Offers a practical application to reinsurance.

Reference / Citation

View Original

"The paper shows that there exists a unique minimal strong solution to the given particle system up until a certain maximal stopping time, which is stated explicitly in terms of the dual formulation of a linear programming problem."

ArXivDec 30, 2025 22:23

* Cited for critical analysis under Article 32.

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