Bayesian Dividend Optimization and Finite Time Ruin Probabilities [PDF]
Stochastic Models, 2014 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
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Erlangian approximation to finite time ruin probabilities in perturbed risk models [PDF]
Scandinavian Actuarial Journal, 2011 In this work-in-progress, we consider perturbed risk processes that have an underlying Markovian structure, including Markovian risk processes, and Sparre-Andersen risk processes when both inter claim times and claim sizes are phase-type. We apply the Erlangization method to this risk process in order to obtain an accurate approximation of the finite ...
Yu, Kaiqi +2 more
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On finite-time ruin probabilities with reinsurance cycles influenced by large claims [PDF]
Scandinavian Actuarial Journal, 2013 Market cycles play a great role in reinsurance. Cycle transitions are not independent from the claim arrival process: a large claim or a high number of claims may accelerate cycle transitions. To take this into account, a semi-Markovian risk model is proposed and analyzed.
Barges M, Loisel S, Venel X
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Finite-Time Ruin Probabilities of Bidimensional Risk Models with Correlated Brownian Motions
Mathematics, 2023 The present work concerns the finite-time ruin probabilities for several bidimensional risk models with constant interest force and correlated Brownian motions. Under the condition that the two Brownian motions {B1(t),t≥0} and {B2(t),t≥0} are correlated,
Dan Zhu, Ming Zhou, Chuancun Yin
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Finite-time ruin probability of aggregate Gaussian processes [PDF]
, 2014 11 ...
Debicki, K. +3 more
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The finite-time ruin probability of the nonhomogeneous Poisson risk model with conditionally independent subexponential claims [PDF]
Communications in Statistics - Theory and Methods, 2017 This paper obtains an asymptotic formula for the finite-time ruin probability of the compound nonhomogeneous Poisson risk model with a constant interest force, in which the claims are conditionally independent random variables with a common ...
Hui Xu, Fengyang Cheng
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Sensitivity analysis and density estimation for finite-time ruin probabilities
Journal of Computational and Applied Mathematics, 2009 AbstractThe goal of this paper is to obtain probabilistic representation formulas that are suitable for the numerical computation of the (possibly non-continuous) density functions of infima of reserve processes commonly used in insurance. In particular we show, using Monte Carlo simulations, that these representation formulas perform better than ...
Loisel, Stéphane, Privault, Nicolas
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Uniform Asymptotics for Finite-Time Ruin Probabilities of Risk Models with Non-Stationary Arrivals and Strongly Subexponential Claim Sizes [PDF]
Wuhan University Journal of Natural SciencesThis paper considers the one- and two-dimensional risk models with a non-stationary claim-number process. Under the assumption that the claim-number process satisfies the large deviations principle, the uniform asymptotics for the finite-time ruin ...
Chenghao XU, Kaiyong Wang, Jiangyan Peng
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FINITE TIME RUIN PROBABILITY IN MULTIVARIATE PERTURBED RENEWAL RISK MODEL
Far East Journal of Mathematical Sciences (FJMS), 2022 Frédéric Béré
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Asymptotics for the Finite Time Ruin Probability in the Renewal Model with Consistent Variation
Stochastic Models, 2004 This paper investigates the finite time ruin probability in the renewal risk model. Under some mild assumptions on the tail probabilities of the claim size and of the inter-occurrence time, a simple asymptotic relation is established as the initial surplus increases. In particular, this asymptotic relation is requested to hold uniformly for the horizon
Q. Tang
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