Time to ruin, insolvency penalties and dividends in a Markov-modulated multi-risk model with common shocks [PDF]
We consider a main insurance company with K subcompanies (or lines of busi- ness). The joint evolution of the surpluses of these lines of business is modeled by a Markov-modulated multivariate compound Poisson model with Poisson common shocks, modified ...
Stéphane Loisel
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Linearized Credibility Formula for Exponentially Weighted Squared Error Loss Function [PDF]
Is an original paper, which describes techniques for estimating premiums for risks, containing a fraction (a part) of the variance of the risk as a loading on the net risk premium.the linearized credibility formula, the best risk premium – in the sense ...
Virginia ATANASIU
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Some remarks on IBNR evaluation techniques. [PDF]
In this short note we give some comments and general remarks on the methodology of IBNR computations, as presented at the workshop on IBNR computations at the 2000 ASTIN Meeting, Porto Cervo, Sardinia.Evaluation;
Dhaene, Jan +3 more
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Navigating the landscape of multiplayer games. [PDF]
Nat Commun, 2020 Omidshafiei S +11 more
europepmc +1 more source
Approximating the Finite-Time Ruin Probability under Interest Force [PDF]
We present an algorithm to determine both a lower and an upper bound for the finite-time probability of ruin for a risk process with constant interest force. We split the time horizon into smaller intervals of equal length and consider the probability of
Brekelmans, R.C.M. +1 more
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A straightforward analytical calculation of the distribution of an annuity certain with stochastic interest rate. [PDF]
Starting from the moment generating function of the annuity certain with stochastic interest rate written by means of a time discretization of the Wiener process as an n-fold integral, a straightforward evaluation of the corresponding distribution ...
De Schepper, A +3 more
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An Application of Semi-Markovian Models to the Ruin Problem [PDF]
, 2011 We consider the classical ruin problem due to Cramér and Lundberg and we generalize it. Ruin times of the considered models are studied and sufficient conditions to usual stochastic dominance between ruin times are established.
Almaraz Luengo, Elena
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On finite-time ruin probabilities with reinsurance cycles influenced by large claims [PDF]
Market cycles play a great role in reinsurance. Cycle transitions are not independent from the claim arrival process : a large claim or a high number of claims may accelerate cycle transitions.
Mathieu Bargès +2 more
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Bounds for stop-loss premiums of stochastic sums (with applications to life contingencies). [PDF]
In this paper we present in a general setting lower and upper bounds for the stop-loss premium of a (stochastic) sum of dependent random variables.
Darkiewicz, Grzegorz +4 more
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On finite-time ruin probabilities with reinsurance cycles influenced by large claims [PDF]
, 2011 International audienceMarket cycles play a great role in reinsurance. Cycle transitions are not independent from the claim arrival process : a large claim or a high number of claims may accelerate cycle transitions.
Bargès, Mathieu +2 more
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