Results 11 to 20 of about 16,611 (237)
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
core +5 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 Lefèvre (1997) for the probability of (non-)ruin
Claude Lefèvre, Stéphane Loisel
core +4 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
Brekelmans, R.C.M. +1 more
core +8 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 ...
Dȩbicki, Krzysztof +2 more
openaire +2 more sources
Bayesian Dividend Maximization and Finite Time Ruin Probabilities [PDF]
Stochastic Models, 2013 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.
Leobacher, Gunther +2 more
openaire +6 more sources
Ruin probability in finite time [PDF]
, 2011 In examining the nature of the risk associated with a portfolio of business, it is often of interest to assess how the portfolio may be expected to perform over an extended period of time. One approach involves the use of ruin theory (Panjer and Willmot, 1992).
Krzysztof Burnecki, Marek Teuerle
openaire +1 more source
Ruin probabilities for a perturbed risk model with stochastic premiums and constant interest force
Journal of Inequalities and Applications, 2016 In this paper, we consider a perturbed compound Poisson risk model with stochastic premiums and constant interest force. We obtain the upper bound and Lundberg-Cramér approximation for the infinite-time ruin probability, and consider the asymptotic ...
Jianhua Cheng, Yanwei Gao, Dehui Wang
doaj +1 more source
The probabilities of absolute ruin in the renewal risk model with constant force of interest [PDF]
, 2010 In this paper we consider the probabilities of finite- And infinite-time absolute ruins in the renewal risk model with constant premium rate and constant force of interest.
Asmussen +6 more
core +1 more source
On the evaluation of finite-time ruin probabilities in a dependent risk model [PDF]
, 2016 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
Dimitrova, D. S. +2 more
core +1 more source
Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities [PDF]
Methodology and Computing in Applied Probability, 2009 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Loisel, Stéphane, Lefèvre, Claude
openaire +2 more sources