Ruin Analysis on a New Risk Model with Stochastic Premiums and Dependence Based on Time Series for Count Random Variables. [PDF]
Entropy (Basel), 2023 Guan L, Wang X.
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Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities [PDF]
This paper is concerned with the compound Poisson risk model and two generalized models with still Poisson claim arrivals. One extension incorporates inhomogeneity in the premium input and in the claim arrival process, while the other takes into account ...
Claude Lefèvre, Stéphane Loisel
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Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin. [PDF]
We consider the classical risk model and carry out a sensitivity and robustness analysis of finite-time ruin probabilities. We provide algorithms to compute the related influence functions.
Christian Mazza +2 more
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Three Methods to Calculate the Probability of Ruin [PDF]
, 2017 The first method, essentially due to GOOVAERTS and DE VYLDER, uses the connection between the probability of ruin and the maximal aggregate loss random variable, and the fact that the latter has a compound geometric distribution.
Dufresne, François, Gerber, Hans U.
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Upper and lower bounds for sums of random variables. [PDF]
In this contribution, the upper bounds for sums of dependent random variables X1 + X2 + … + X n derived by using comonotonicity are sharpened for the case when there exists a random variable Z such that the distribution functions of the Xi, given Z = z ...
Dhaene, Jan, Goovaerts, Marc, Kaas, R
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The Hachemeister Regression Model [PDF]
In this article we will obtain, just like in the case of classical credibility model, a credibility solution in the form of a linear combination of the individual estimate (based on the data of a particular state) and the collective estimate (based on ...
Carmen Lenuta TRICA
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Approximations to ruin probablities in infinite time using a Lévy process [PDF]
, 2016 Mestrado em Ciências ActuariaisEsta dissertação aborda especificamente problemas da área da teoria da ruína, sub-área da teoria do risco para a atividade seguradora. Em particular, estudamos a probabilidade de ruína eventual.
Koucha, Yacine
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Calculating multivariate ruin probabilities via Gaver–Stehfest inversion technique. [PDF]
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.
Usábel, Miguel A.
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Managing economic and virtual economic capital within financial conglomerates. [PDF]
In the present contribution we show how the optimal amount of economic capital can be derived such that it minimizes the economic cost of risk-bearing. The economic cost of risk-bearing takes into account the cost of the economic capital as well as the ...
Goovaerts, Marc +2 more
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ABOUT RISK PROCESS ESTIMATION TECHNIQUES EMPLOYED BY A VIRTUAL ORGANIZATION WHICH IS DIRECTED TOWARDS THE INSURANCE BUSINESS [PDF]
In a virtual organization directed on the insurance business, the estimations of the risk process and of the ruin probability are important concerns: for researchers, at the theoretical level, and for the management of the company, as these influence the
Covrig Mihaela, Serban Radu
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