A spatial mixed Poisson framework for combination of excess-of-loss and proportional reinsurance contracts [PDF]
, 2009 In this paper a purely theoretical reinsurance model is presented, where the reinsurance contract is assumed to be simultaneously of an excess-of-loss and of a proportional type. The stochastic structure of the set of pairs (claim’s arrival time, claim’s
Aase +27 more
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Error estimates for De Vylder type approximations in ruin theory
, 2017 Due to its practical use, De Vylder's approximation of the ruin probability has been one of the most popular approximations in ruin theory and its application to insurance. Surprisingly, only heuristic and numerical evidence has supported it, to some extent.
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Studia Oeconomica Posnaniensia, 2015 Artykul przedstawia przegląd badan oraz ewolucje aproksymacji De Vyldera. Metoda ta polega na zastąpieniu procesu ryzyka poprzez inny proces ryzyka z wykladniczym rozkladem szkod tak, aby momenty pierwszych trzech rzedow przyrostu dla obu procesow byly jednakowe.
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Bayesian deconvolution of scanning electron microscopy images using point-spread function estimation and non-local regularization [PDF]
, 2016 Microscopy is one of the most essential imaging techniques in life sciences. High-quality images are required in order to solve (potentially life-saving) biomedical research problems.
Aelterman, Jan +5 more
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Calculating multivariate ruin probabilities via Gaver–Stehfest inversion technique [PDF]
, 1999 Multivariate characteristics of risk processes are of high interest to academic actuaries. In such models, the probability of ruin is obtained not only by considering initial reserves u but also the severity of ruin y and the surplus before ruin x. This
Usabel Rodrigo, Miguel Arturo
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On the accuracy of phase-type approximations of heavy-tailed risk models [PDF]
, 2012 Numerical evaluation of ruin probabilities in the classical risk model is an important problem. If claim sizes are heavy-tailed, then such evaluations are challenging.
Adan, Ivo J. B. F. +3 more
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Extinction in a branching process: Why some of the fittest strategies cannot guarantee survival [PDF]
, 2013 The fitness of a biological strategy is typically measured by its expected reproductive rate, the first moment of its offspring distribution. However, strategies with high expected rates can also have high probabilities of extinction. A similar situation
Klaere, Steffen, Sawaya, Sterling
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Analytical and numerical approach to corporate operational risk modelling [PDF]
Although The New Basel Accord gives the methodology for managing operational risk in financial institutions, corporate risk seems not to be recognized enough. In this Ph.D.
Pawel Mista
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On The Randomized Schmitter Problem. [PDF]
Methodol Comput Appl Probab, 2022 Albrecher H, Araujo-Acuna JC.
europepmc +1 more source
The win-first probability under interest force [PDF]
In a classical risk model under constant interest force, we study the probability that the surplus of an insurance company reaches an upper barrier before a lower barrier. We define this probability as win-first probability.
Didier Rullière, Stéphane Loisel
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