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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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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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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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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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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Navigating the landscape of multiplayer games. [PDF]
Nat Commun, 2020 Omidshafiei S +11 more
europepmc +1 more source
Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes. [PDF]
The classical risk model is considered and a sensitivity analysis of finite-time ruin probabilities is carried out. We prove the weak convergence of a sequence of empirical finite-time ruin probabilities.
Christian Mazza +2 more
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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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Reinsurance, ruin and solvency issues: some pitfalls [PDF]
In this paper, we consider optimal reinsurance from an insurer's point of view. Given a (low) ruin probability target, insurers want to find the optimal risk transfer mechanism, i.e. either a proportional or a nonproportional reinsurance treaty. Since it
Arthur Charpentier
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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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