Results 11 to 20 of about 5,829 (199)
Randomized observation periods for the compound Poisson risk model: the discounted penalty function [PDF]
Scandinavian Actuarial Journal, 2013 In the framework of collective risk theory, we consider a compound Poisson risk model for the surplus process where the process (and hence ruin) can only be observed at random observation times. For Erlang(n) distributed inter-observation times, explicit expressions for the discounted penalty function at ruin are derived.
Cheung, ECK, Thonhauser, S, Albrecher, H
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MANAGING HEART RELATED DISEASE RISKS IN BPJS KESEHATAN USING COLLECTIVE RISK MODELS
Media Statistika, 2023 BPJS Kesehatan is a legal entity established to administer the health service program using the insurance system. Heart related diseases is a disease with the largest coverage cost in Indonesia.
Gede Ary Prabha Yogesswara +2 more
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ON THE COMPOUND POISSON RISK MODEL WITH PERIODIC CAPITAL INJECTIONS
ASTIN Bulletin, 2017 AbstractThe analysis of capital injection strategy in the literature of insurance risk models (e.g. Pafumi, 1998; Dickson and Waters, 2004) typically assumes that whenever the surplus becomes negative, the amount of shortfall is injected so that the company can continue its business forever. Recently, Nie et al. (2011) has proposed an alternative model
Zhang, Z, Cheung, ECK, Yang, H
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Estimating the Gerber-Shiu Function in a Compound Poisson Risk Model with Stochastic Premium Income
Discrete Dynamics in Nature and Society, 2019 In this paper, we consider the compound Poisson risk model with stochastic premium income. We propose a new estimation of Gerber-Shiu function by an efficient method: Fourier-cosine series expansion.
Yunyun Wang, Wenguang Yu, Yujuan Huang
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Mathematics, 2022 In this work, we study the optimal investment and premium control problem with the short-selling constraint under the mean-variance criterion. The claim process is assumed to follow the non-homogeneous compound Poisson process.
Zilan Liu +3 more
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A compound Poisson risk model with variable premium rate
Journal of the Korean Data and Information Science Society, 2012 We consider a general compound Poisson risk model in which the premium rate is surplus dependent. We analyze the joint distribution of the surplus immediately before ruin, the deffcit at ruin and the time of ruin by solving the integro-differential equation for the Gerber-Shiu discounted penalty function.
Mi Jung Song, Jongwoo Kim, Jiyeon Lee
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A Deep Neural Network Approach to Solving for Seal’s Type Partial Integro-Differential Equation
Mathematics, 2022 In this paper, we study the problem of solving Seal’s type partial integro-differential equations (PIDEs) for the classical compound Poisson risk model.
Bihao Su, Chenglong Xu, Jingchao Li
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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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Optimal Dividend Problem for a Compound Poisson Risk Model
Applied Mathematics, 2014 In this note we study the optimal dividend problem for a company whose surplus process, in the absence of dividend payments, evolves as a generalized compound Poisson model in which the counting process is a generalized Poisson process. This model includes the classical risk model and the Polya-Aeppli risk model as special cases.
Ying Shen, Chuancun Yin
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Ruin probabilities for a perturbed risk model with stochastic premiums and constant interest force
Journal of Inequalities and Applications, 2016 In this paper, we consider a perturbed compound Poisson risk model with stochastic premiums and constant interest force. We obtain the upper bound and Lundberg-Cramér approximation for the infinite-time ruin probability, and consider the asymptotic ...
Jianhua Cheng, Yanwei Gao, Dehui Wang
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