Results 11 to 20 of about 34,266 (260)
On the evaluation of finite-time ruin probabilities in a dependent risk model [PDF]
Applied Mathematics and Computation, 2013 This paper establishes some enlightening connections between the explicit formulas of the finite-time ruin probability obtained by Ignatovand Kaishev (2000, 2004) and Ignatov et al. (2001) for a risk model allowing dependence. The numerical properties of these formulas are investigated and efficient algorithms for computing ruin probability with ...
Dimitrina S. Dimitrova +2 more
core +9 more sources
On finite-time ruin probabilities for classical risk models [PDF]
Scandinavian Actuarial Journal, 2008 This paper is concerned with the problem of ruin in the classical compound binomial and compound Poisson risk models. Our primary purpose is to extend to those models an exact formula derived by Picard and Lefevre (24) for the probability of (non-)ruin within finite time. First, a standard method based on the ballot theorem and an argument of Seal-type
Lefèvre, Claude, Loisel, Stéphane
core +8 more sources
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 ruin in case premium income for a time interval is received at the beginning (resp.
Brekelmans, R.C.M. +1 more
core +10 more sources
Effect of Stop-Loss Reinsurance on Primary Insurer Solvency [PDF]
Risks, 2022 Stop-loss reinsurance is a risk management tool that allows an insurance company to transfer part of their risk to a reinsurance company. Ruin probabilities allow us to measure the effect of stop-loss reinsurance on the solvency of the primary insurer ...
Corina Constantinescu +4 more
doaj +3 more sources
Finite time ruin probabilities for tempered stable insurance risk processes [PDF]
Insurance: Mathematics and Economics, 2013 22 pages, 4 ...
Griffin, Philip S +2 more
openaire +6 more sources
On the Calculation of the Ruin Probability for a finite time Period [PDF]
ASTIN Bulletin, 1971 In many risk theoretical questions a central problem is the numerical evaluation of a convolution integral and much effort has been devoted over the years to mathematical and computational aspects. The paper presented to this colloquium by O. Thorin shows the subject to be topical but the present note stems from a recent paper by H. L.
R. E. Beard
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On the First Crossing of Two Boundaries by an Order Statistics Risk Process [PDF]
Risks, 2017 We derive a closed form expression for the probability that a non-decreasing, pure jump stochastic risk process with the order statistics (OS) property will not exit the strip between two non-decreasing, possibly discontinuous, time-dependent boundaries,
Dimitrina S. Dimitrova +2 more
doaj +2 more sources
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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The finite-time ruin probability of the compound Poisson model with constant interest force [PDF]
, 2005 In this paper, we establish a simple asymptotic formula for the finite-time ruin probability of the compound Poisson model with constant interest force and subexponential claims in the case that the initial surplus is large.
Qihe Tang
semanticscholar +3 more sources
On finite-time ruin probabilities in a generalized dual risk model with dependence [PDF]
European Journal of Operational Research, 2015 In this paper, we study the finite-time ruin probability in a reasonably generalized dual risK model, where we assume any non-negative non-decreasing cumulative operational cost function and arbitrary capital gains arrival process. Establishing an enlightening link between this dual risk model and its corresponding insurance risk model, explicit ...
Dimitrina S. Dimitrova +2 more
openaire +4 more sources