Results 1 to 10 of about 37,807,015 (239)
Deficit at ruin with threshold proportional reinsurance [PDF]
Insurance Markets and Companies, 2010 In this paper, we focus our analysis on the distribution function and the moments of the deficit at ruin in a model with a threshold proportional reinsurance strategy using the Gerber-Shiu function. This strategy considers a proportional reinsurance, but the retention level is not constant and depends on the surplus.
Anna Castañer +2 more
doaj +2 more sources
The surplus prior to ruin and the deficit at ruin for a correlated risk process
Scandinavian Actuarial Journal, 2005 This paper presents an explicit characterization for the joint probability density function of the surplus immediately prior to ruin and the deficit at ruin for a general risk process, which includes the Sparre-Andersen risk model with phase-type inter-claim times and claim sizes. The model can also accommodate a Markovian arrival process which enables
David Stanford +2 more
exaly +4 more sources
The joint distribution of the surplus prior to ruin and the deficit at ruin in some Sparre Andersen models [PDF]
Insurance: Mathematics and Economics, 2004 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
David Dickson, Steve Drekić
exaly +4 more sources
Ruin and deficit at ruin under an extended order statistics risk process [PDF]
Methodology and Computing in Applied Probability, 2018 We consider an insurance risk model with extended flexibility, under which claims arrive according to a point process with an order statistics (OS) property, their amounts may have any joint distribution and the premium income is accumulated following any nondecreasing, possibly discontinuous real valued function.
Dimitrova, D. S. +2 more
openaire +5 more sources
General bounds for the deficit distribution at ruin in the Sparre Andersen model
Lithuanian Mathematical JournalAbstractWe present constructive methods that give upper and lower bounds of Ψ, the insurer’s deficit distribution at ruin time in the Sparre Andersen model. The methodology effectively provides monotone sequences of upper and lower bounds of Ψ, and those sequences converge to Ψ with exponential rate.
Leslaw Gajek, Marcin Rudz
exaly +3 more sources
On a risk measure inspired from the ruin probability and the expected deficit at ruin [PDF]
Scandinavian Actuarial Journal, 2015 In this paper, we study a risk measure derived from ruin theory defined as the amount of capital needed to cope in expectation with the first occurrence of a ruin event. Specifically, within the compound Poisson model, we investigate some properties of this risk measure with respect to the stochastic ordering of claim severities.
Mitric, Ilie-Radu, Trufin, Julien
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Breaking the Budget Rule to Rescue Economy
Вестник Российского экономического университета имени Г. В. Плеханова, 2020 A high degree of uncertainty in the future development of global and Russian economy due to the corona-virus epidemic proliferation, the global economic downfall, which followed the introduction of quarantine measures in some countries make the issue of ...
A. Yu. Chalova
doaj +1 more source
Some Explicit Solutions for the Joint Density of the Time of Ruin and the Deficit at Ruin [PDF]
ASTIN Bulletin, 2008 Using probabilistic arguments we obtain an integral expression for the joint density of the time of ruin and the deficit at ruin. For the classical risk model, we obtain the bivariate Laplace transform of this joint density and invert it in the cases of individual claims distributed as Erlang(2) and as a mixture of two exponential distributions.
openaire +1 more source
A Duality Result for the Generalized Erlang Risk Model
Risks, 2014 In this article, we consider the generalized Erlang risk model and its dual model. By using a conditional measure-preserving correspondence between the two models, we derive an identity for two interesting conditional probabilities.
Lanpeng Ji, Chunsheng Zhang
doaj +1 more source
Discrete Dynamics in Nature and Society, 2013 We consider a Markovian regime-switching risk model (also called the Markov-modulated risk model) with stochastic premium income, in which the premium income and the claim occurrence are driven by the Markovian regime-switching process.
Wenguang Yu
doaj +1 more source