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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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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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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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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Analytical Bounds for two Value-at-Risk Functionals [PDF]
, 2017 Based on the notions of value-at-risk and conditional value-at-risk, we consider two functionals, abbreviated VaR and CVaR, which represent the economic risk capital required to operate a risky business over some time period when only a small probability
Hürlimann, Werner
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Discretisation and continuity: The emergence of symbols in communication.
Cognition, 2021 Lieck R, Rohrmeier M.
europepmc +1 more source
The concept of comonotonicity in actuarial science and finance : theory. [PDF]
n an insurance context, one is often interested in the distribution function of a sum of random variables. Such a sum appears when considering the aggregate claims of an insurance portfolio over a certain reference period.
Denuit, Michel +4 more
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A novel dictionary based computer vision method for the detection of cell nuclei. [PDF]
PLoS One, 2013 De Vylder J +6 more
europepmc +1 more source
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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