Results 1 to 10 of about 21,700,063 (319)
Asymptotically Normal Estimators of the Gerber-Shiu Function in Classical Insurance Risk Model
Mathematics, 2020 Nonparametric estimation of the Gerber-Shiu function is a popular topic in insurance risk theory. Zhang and Su (2018) proposed a novel method for estimating the Gerber-Shiu function in classical insurance risk model by Laguerre series expansion based on ...
Wen Su, Wenguang Yu
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Optimal prevention strategies in the classical risk model
Insurance: Mathematics and Economics, 2020 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Gauchon, Romain +3 more
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The Distribution of the time to Ruin in the Classical Risk Model [PDF]
ASTIN Bulletin, 2002 AbstractWe study the distribution of the time to ruin in the classical risk model. We consider some methods of calculating this distribution, in particular by using algorithms to calculate finite time ruin probabilities. We also discuss calculation of the moments of this distribution.
Dickson, DCM, Waters, HR
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Explicit Solutions for Survival Probabilities in the Classical Risk Model [PDF]
ASTIN Bulletin, 2005 The purpose of this paper is to show that, for the classical risk model, explicit expressions for survival probabilities in a finite time horizon can be obtained through the inversion of the double Laplace transform of the distribution of time to ruin.
Jorge M.A. Garcia
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SIMPLE CONTINUITY INEQUALITIES FOR RUIN PROBABILITY IN THE CLASSICAL RISK MODEL [PDF]
ASTIN Bulletin, 2016 AbstractA simple technique for continuity estimation for ruin probability in the compound Poisson risk model is proposed. The approach is based on the contractive properties of operators involved in the integral equations for the ruin probabilities.
Gordienko, Evgueni +1 more
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On a Classical Risk Model with a Constant Dividend Barrier [PDF]
North American Actuarial Journal, 2005 Abstract This paper considers a risk model with a constant dividend barrier. It first points out interesting connections between some previous results for this model and those for spectrally negative Levy processes. An expression is then obtained for the joint distribution of the surplus immediately prior to ruin and the deficit at ruin, discounted ...
Xiao-Wen Zhou
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On semiparametric estimation of ruin probabilities in the classical risk model [PDF]
Scandinavian Actuarial Journal, 2012 The ruin probability of an insurance company is a central topic in risk theory. We consider the classical Poisson risk model when the claim size distribution and the Poisson arrival rate are unknown. Given a sample of inter-arrival times and corresponding claims, we propose a semiparametric estimator of the ruin probability.
Esterina Masiello
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On a nonparametric estimator for ruin probability in the classical risk model [PDF]
Scandinavian Actuarial Journal, 2012 In this paper, we present a nonparametric estimator for ruin probability in the classical risk model with unknown claim size distribution. We construct the estimator by Fourier inversion and kernel density estimation method. Under some conditions imposed on the kernel, bandwidth and claim size density, we present some large sample properties of the ...
Yang, H, Yang, H, Zhang, Z
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Nonparametric Estimation of the Ruin Probability in the Classical Compound Poisson Risk Model [PDF]
Journal of Risk and Financial Management, 2020 In this paper we study estimating ruin probability which is an important problem in insurance. Our work is developed upon the existing nonparametric estimation method for the ruin probability in the classical risk model, which employs the Fourier transform but requires smoothing on the density of the sizes of claims.
Yuan Gao +3 more
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Quantification of risk in classical models of finance [PDF]
Quantitative Finance, 2021 This paper enhances the pricing of derivatives as well as optimal control problems to a level comprising risk. We employ nested risk measures to quantify risk, investigate the limiting behavior of nested risk measures within the classical models in finance and characterize existence of the risk-averse limit.
Alois Pichler, Ruben Schlotter
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