Results 11 to 20 of about 19,056,268 (297)
ON THE COMPOUND POISSON RISK MODEL WITH PERIODIC CAPITAL INJECTIONS [PDF]
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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Randomized observation periods for the compound Poisson risk model: Dividends [PDF]
, 2011 In the framework of the classical compound Poisson process in collective risk theory, we study a modification of the horizontal dividend barrier strategy by introducing random observation times at which dividends can be paid and ruin can be observed. This model contains both the continuous-time and the discrete-time risk model as a limit and represents
Cheung, ECK, Thonhauser, S, Albrecher, H
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The perturbed compound Poisson risk model with linear dividend barrier [PDF]
Journal of Computational and Applied Mathematics, 2011 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Donghai Liu, Zaiming Liu
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Incorporating Climate Risk into Credit Risk Modeling: An Application in Housing Finance
FinTech, 2023 This paper examines the integration of climate risks into structural credit risk models. We focus on applications in housing finance and argue that mortgage defaults due to climate disasters have different statistical features than default due to ...
Alexandra Lefevre, Agnes Tourin
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Advances in Difference Equations, 2021 In this paper, we model the insurance company’s surplus by a compound Poisson risk model, where the surplus process can only be observed at random observation times.
Wenguang Yu +5 more
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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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On a Bivariate Poisson Negative Binomial Risk Process
Biomath, 2014 In this paper we define a bivariate counting process as a compound Poisson process with bivariate negative binomial compounding distribution. We investigate some of its basic properties, recursion formulas and probability mass function.
Krasimira Kostadinova, Leda Minkova
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A compound Poisson risk model with proportional investment
Journal of Computational and Applied Mathematics, 2013 This paper considers the compound Poisson risk model with a threshold dividend strategy and proportional investment. The goal here is to investigate the expected discounted dividend payments and the expected penalty-reward function. Integro-differential equations with certain boundary conditions are derived.
Xu Chen, Hui Ou
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On the Expected Discounted Penalty Function Using Physics-Informed Neural Network
Journal of Mathematics, 2023 We study the expected discounted penalty at ruin under a stochastic discount rate for the compound Poisson risk model with a threshold dividend strategy. The discount rate is modeled by a Poisson process and a standard Brownian motion.
Jiayu Wang, Houchun Wang
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A Stochastic String with a Compound Poisson Process
Abstract and Applied Analysis, 2013 We investigate a compound Poisson infinite factor diffusion model which describes the relationship between the infinite-dimension random risk resource and the corresponding stochastic process.
Sheng Fan
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