Results 21 to 30 of about 19,056,268 (297)
Non-Parametric Threshold Estimation for the Wiener–Poisson Risk Model
Mathematics, 2019 In this paper, we consider the Wiener−Poisson risk model, which consists of a Wiener process and a compound Poisson process. Given the discrete record of observations, we use a threshold method and a regularized Laplace inversion technique to ...
Honglong You, Yuan Gao
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
Spatial modelling of claim frequency and claim size in insurance [PDF]
, 2005 In this paper models for claim frequency and claim size in non-life insurance are considered. Both covariates and spatial random e ects are included allowing the modelling of a spatial dependency pattern.
Gschlößl, Susanne, Czado, Claudia
core +1 more source
Discrete Dynamics in Nature and Society, 2012 We consider the dynamic proportional reinsurance in a two-dimensional compound Poisson risk model. The optimization in the sense of minimizing the ruin probability which is defined by the sum of subportfolio is being ruined.
Yan Li, Guoxin Liu
doaj +1 more source
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
doaj +1 more source
Compound Compound Poisson Risk Model [PDF]
, 2009 The compound Poisson risk models are widely used in practice. In this paper the counting process in the insurance risk model is a compound Poisson process. The model is called Compound Compound Poisson Risk Model.
Minkova, Leda D.
core +1 more source
Second order corrections for the limits of normalized ruin times in the presence of heavy tails
Stochastic Systems, 2014 In this paper we consider a compound Poisson risk model with regularly varying claim sizes. For this model in [4] an asymptotic formula for the finite time ruin probability is provided when the time is scaled by the mean excess function. In this paper
Dominik Kortschak, Søren Asmussen
doaj +1 more source