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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
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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
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On finite-time ruin probabilities for classical risk models [PDF]
Scandinavian Actuarial Journal, 2007 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
Claude Lefèvre, Stéphane Loisel
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International Journal of Mathematics for Industry, 2023 This paper studies the Gerber–Shiu function for the insurance surplus process with additional investment under the Bachelier model. The Gerber–Shiu function allows us to study the moments of the time of ruin, which is the first time that the surplus is ...
Sutipon Punaluek, Yuri Imamura
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Second order corrections for the limits of normalized ruin times in the presence of heavy tails
Stochastic Systems, 2014 In this paper we consider a compound Poisson risk model with regularly varying claim sizes. For this model in [4] an asymptotic formula for the finite time ruin probability is provided when the time is scaled by the mean excess function. In this paper
Dominik Kortschak, Søren Asmussen
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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
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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
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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
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Ruin probability in the three-seasonal discrete-time risk model
Modern Stochastics: Theory and Applications, 2015 This paper deals with the discrete-time risk model with nonidentically distributed claims. We suppose that the claims repeat with time periods of three units, that is, claim distributions coincide at times $\{1,4,7,\dots \}$, at times $\{2,5,8,\dots \}$,
Andrius Grigutis +2 more
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On finite-time ruin probabilities in a generalized dual risk model with dependence [PDF]
, 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.
Dimitrova, D. S. +2 more
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