Results 11 to 20 of about 16,779 (261)
Finite time ruin probabilities with one Laplace inversion [PDF]
Insurance: Mathematics and Economics, 2003 In this work we present an explicit formula for the Laplace transform in time of the finite time ruin probabilities of a classical Levy model with phase-type claims.
Avram, Florin +1 more
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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 ...
Krzysztof Dȩbicki +2 more
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Approximating the Finite-Time Ruin Probability under Interest Force [PDF]
Insurance: Mathematics and Economics, 2001 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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Ruin Probabilities in Finite Time
Journal of Mathematical Finance, 2023 Andrew Leung
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Finite Time Ruin Probabilities for Tempered Stable Insurance Risk Processes [PDF]
Insurance: Mathematics and Economics, 2013 22 pages, 4 ...
Philip S. Griffin +2 more
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Ruin Probability During A Finite Time Interval [PDF]
ASTIN Bulletin, 1975 This paper was inspired by comments by H. L. Seal in a series of lectures given to the Actuaries Club in New York and by a paper of his recently published in the Swiss Actuarial Journal (Seal, 1972 [6]). In his lectures he showed that the probability U(w, t) that a risk reserve at every epoch τ, where o < τ ≤ t will be non negative when the initial ...
R. E. Beard
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An Asymptotic Expression for the Probability of Ruin within Finite Time [PDF]
The Annals of Probability, 1990 We consider quantities such as the probability that a two-dimensional random walk crosses the ordinate $y$ for the first time to the left of the abscissa $x$, and describe the asymptotic behaviour as $x$ and $y$ tend to $\infty$. The result is applied to the risk reserve process of insurance mathematics as well as to one-dimensional random walks.
Thomas Höglund
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Finite-time ruin probability of aggregate Gaussian processes [PDF]
, 2014 11 ...
Krzysztof Dȩbicki +3 more
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Bayesian Dividend Optimization and Finite Time Ruin Probabilities [PDF]
Stochastic Models, 2016 We consider the valuation problem of an (insurance) company under partial information. Therefore we use the concept of maximizing discounted future dividend payments. The firm value process is described by a diffusion model with constant and observable volatility and constant but unknown drift parameter.
Gunther Leobacher +2 more
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Discrete-Time Risk Models with Claim Correlated Premiums in a Markovian Environment
Risks, 2021 In this paper we consider a discrete-time risk model, which allows the premium to be adjusted according to claims experience. This model is inspired by the well-known bonus-malus system in the non-life insurance industry.
Dhiti Osatakul, Xueyuan Wu
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