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Finite time ruin probabilities with one Laplace inversion [PDF]
Insurance: Mathematics and Economics, 2003 Publicado
Florin Avram +3 more
core +11 more sources
Finite-time ruin probability of a perturbed risk model with dependent main and delayed claims
Nonlinear Analysis, 2021 This paper considers a delayed claim risk model with stochastic return and Brownian perturbation in which each main claim may be accompanied with a delayed claim occurring after a stochastic period of time, and the price process of the investment ...
Yang Yang, Xinzhi Wang, Zhimin Zhang
doaj +4 more sources
The Finite-Time Ruin Probability with Dependent Insurance and Financial Risks [PDF]
Journal of Applied Probability, 2011 Consider a discrete-time insurance risk model. Within period i, the net insurance loss is denoted by a real-valued random variable Xi. The insurer makes both risk-free and risky investments, leading to an overall stochastic discount factor Yi from time i to time i − 1.
Yiqing Chen
semanticscholar +6 more sources
The finite-time ruin probability for an inhomogeneous renewal risk model
Journal of Industrial & Management Optimization, 2017 In the paper, we give an asymptotic formula for the finite-time ruin probability in a generalized renewal risk model. We consider the renewal risk model with independent strongly subexponential claim sizes and independent not necessarily identically distributed inter occurrence times having finite variances.
Emilija Bernackaitė, Jonas Šiaulys
semanticscholar +4 more sources
MathematicsThe paper considers a bidimensional continuous-time risk model with subexponential claims and Brownian perturbations, in which the price processes of the investment portfolio of the two lines of business are two geometric Lévy processes and the two lines
Xiaowen Shen, Kaiyong Wang, Yang Yang
doaj +3 more sources
Nonlinear AnalysisThe paper considers a dependent bidimensional risk model with stochastic return and Brownian perturbations in which the price processes of the investment portfolio of the two lines of business are two geometric Lévy processes, and the claim-number ...
Chenghao Xu, Xiaowen Shen, Kaiyong Wang
doaj +3 more sources
Finite-time ruin probability for correlated Brownian motions [PDF]
Scandinavian Actuarial Journal, 2021 Let $(W_1(s), W_2(t)), s,t\ge 0$ be a bivariate Brownian motion with standard Brownian motion marginals and constant correlation $ \in (-1,1)$ and define the joint survival probability of both supremum functionals $ _ (c_1,c_2; u, v)$ by $$ _ (c_1,c_2; u, v)=\mathbb{P}\left(\sup_{s \in [0,1]} \left(W_1(s)-c_1s\right)>u,\sup_{t \in [0,1]} \left ...
Enkelejd Hashorva +2 more
openaire +5 more sources
Ruin Analysis on a New Risk Model with Stochastic Premiums and Dependence Based on Time Series for Count Random Variables. [PDF]
Entropy (Basel), 2023 In this paper, we propose a new discrete-time risk model of an insurance portfolio with stochastic premiums, in which the temporal dependence among the premium numbers of consecutive periods is fitted by the first-order integer-valued autoregressive ...
Guan L, Wang X.
europepmc +2 more sources
Uniform asymptotics for finite-time ruin probability of a bidimensional risk model
Journal of Mathematical Analysis and Applications, 2019 Abstract Consider a continuous-time bidimensional risk model with constant force of interest in which the claim sizes from the same business are heavy-tailed and upper tail asymptotically independent. We investigate two cases: one is that the two claim-number processes are arbitrarily dependent, and the other is that the two corresponding claim inter-
Tao Jiang +3 more
semanticscholar +4 more sources
Journal of Industrial and Management Optimization, 2021 This paper considers a general risk model with stochastic return and a Brownian perturbation, where the claim arrival process is a general counting process and the price process of the investment portfolio is expressed as a geometric Levy process.
Baoyin Xun, Kam Chuen Yuen, Kaiyong Wang
openalex +3 more sources