Results 31 to 40 of about 41,821 (95)

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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On The Randomized Schmitter Problem. [PDF]

Methodol Comput Appl Probab, 2022
Albrecher H, Araujo-Acuna JC.
europepmc   +1 more source

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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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.
europepmc   +1 more source

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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On discrepancy, intrinsic Diophantine approximation, and spectral gaps

Journal de Théorie des Nombres de Bordeaux
Résumé. Dans le présent article, nous établissons des bornes pour la taille de l’écart spectral pour les actions de groupe sur les espaces homogènes. Notre approche est basée sur l’estimation des normes des opérateurs de moyennage appropriés, et nous ...
A. Gorodnik, A. Nevo
semanticscholar   +1 more source

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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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, Didier Rullière, Stéphane Loisel   +2 more
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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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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, Laeven, R, Vanden, orre, E   +2 more
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