Results 221 to 230 of about 34,266 (260)
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Stochastics
The paper considers a nonstandard risk model with stochastic return and perturbation, in which the price process of the investment portfolio is described as a geometric Lévy process and each main claim may induce a delayed by-claim.
Kaiyong Wang, Baoyin Xun, Xiaojuan Guo
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The paper considers a nonstandard risk model with stochastic return and perturbation, in which the price process of the investment portfolio is described as a geometric Lévy process and each main claim may induce a delayed by-claim.
Kaiyong Wang, Baoyin Xun, Xiaojuan Guo
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Communications in Statistics - Theory and Methods, 2019
This paper considers a dependent risk model perturbed by diffusion with a constant interest rate, in which the claim sizes and the inter-arrival times have some dependence structures. When the claim sizes have a dominated varying-tailed distribution, the
Kaiyong Wang, Yanzhu Mao
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This paper considers a dependent risk model perturbed by diffusion with a constant interest rate, in which the claim sizes and the inter-arrival times have some dependence structures. When the claim sizes have a dominated varying-tailed distribution, the
Kaiyong Wang, Yanzhu Mao
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Approximations for the probability of ruin within finite time
Scandinavian Actuarial Journal, 1984Abstract A number of approximations for the probability of ruin before time T are surveyed, some new ones are suggested and numerical comparisons with the exact values are given for the Poisson/Exponential case. The approximations include normal ones and diffusion types.
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Finite-time ruin probability in the inhomogeneous claim case
Lithuanian Mathematical Journal, 2010This paper deals with the discrete-time risk model with nonidentically distributed claims. The recursive formula of finite-time ruin probability is obtained, which enables one to evaluate the probability of ruin with desired accuracy. Rational valued claims and nonconstant premium payments are considered.
Jonas Šiaulys +2 more
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Two-Sided Bounds for the Finite Time Probability of Ruin
Scandinavian Actuarial Journal, 2000Explicit, two-sided bounds are derived for the probability of ruin of an insurance company, whose premium income is represented by an arbitrary, increasing real function, the claims are dependent, integer valued r.v.s and their inter-occurrence times are exponentially, non-identically distributed.
Zvetan G. Ignatov, Vladimir K. Kaishev
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A finite-time ruin probability formula for continuous claim severities
Journal of Applied Probability, 2004An explicit formula for the probability of nonruin of an insurance company in a finite time interval is derived, assuming Poisson claim arrivals, any continuous joint distribution of the claim amounts and any nonnegative, increasing real function representing its premium income.
Vladimir K. Kaishev, Zvetan G. Ignatov
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Another look at the Picard-Lefèvre formula for finite-time ruin probabilities
Insurance: Mathematics and Economics, 2004Abstract In the compound Poisson risk model, with discrete claim size distribution, Picard and Lefevre [Picard, P., Lefevre, C., 1997. The probability of ruin in finite-time with discrete claim size distribution. Scand. Actuarial J. 1, 58–69] derived a formula to compute the finite-horizon ruin probability. Here, some alternatives to this formula are
Rullière, Didier, Loisel, Stéphane
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Representation and explicit calculation of Finite-time ruin probabilities
Scandinavian Actuarial Journal, 1978Abstract The paper presents in Section 3 and 4 two series expansions of U (w, t), the probability of non-ruin over a time-interval of length t when initial reserves are w. In Section 5 is developed a method for numerical approximation of U (w, t) given the first few moments of individual claim size distribution.
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Calculation of finite time ruin probabilities for some risk models
Insurance: Mathematics and Economics, 2005Abstract In this paper we discuss the numerical calculation of finite time ruin probabilities for two particular insurance risk models. The first model allows for the investment at a fixed rate of interest of the surplus whenever this is above a given level.
Rui M.R. Cardoso +2 more
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Estimates for the finite-time ruin probability with insurance and financial risks
Acta Mathematicae Applicatae Sinica, English Series, 2012The paper gives estimates for the finite-time ruin probability with insurance and financial risks. When the distribution of the insurance risk belongs to the class L(γ) for some γ > 0 or the subexponential distribution class, we abtain some asymptotic equivalent relationships for the finite-time ruin probability, respectively.
Kai-yong Wang +4 more
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