Uniform tail asymptotics for the stochastic present value of aggregate claims in the renewal risk model [PDF]
, 2010 Consider an insurer who is allowed to make risk-free and risky investments. The price process of the investment portfolio is described as a geometric Lévy process.
Tang, Q, Wang, G, Yuen, KC
core +1 more source
Asymptotics of the Finite-time Ruin Probability for the Sparre Andersen Risk Model Perturbed by an Inflated Stationary Chi-process [PDF]
, 2014 In this article, we consider the Sparre Andersen risk model that is perturbed by an inflated chi-process with non-negative random inflator R. Under some conditions on the perturbation and the random inflator, which allow for both small and large ...
Hashorva, E., Ji, L.
core +1 more source
The Effects of Largest Claim and Excess of Loss Reinsurance on a Company’s Ruin Time and Valuation
Risks, 2017 We compare two types of reinsurance: excess of loss (EOL) and largest claim reinsurance (LCR), each of which transfers the payment of part, or all, of one or more large claims from the primary insurance company (the cedant) to a reinsurer.
Yuguang Fan +4 more
doaj +1 more source
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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Ruin probabilities with dependence on the number of claims within a fixed time window [PDF]
, 2016 We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival time distributions depending on the claims that arrived within a fixed (past) time window. This dependence could be explained through a regenerative structure.
Constantinescu, Corina +3 more
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Finite time ruin probabilities and martingales
Informatica, 1991 The main purpose of this paper is to introduce collective risk theory in its simplest form. The author uses martingale theory to explore the finite resp. infinite time ruin probabilities. Furthermore, the time dependent Lundberg inequality and the time of ruin are also studied. Some open problems are pointed out at the end of this paper.
openaire +2 more sources
International Journal of Mathematics and Mathematical Sciences, 2004 We study a family of diffusion models for compounded risk reserves which account for the investment income earned and for the inflation experienced on claim amounts.
S. Shao, C. L. Chang
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Elementary Bounds on the Ruin Capital in a Diffusion Model of Risk
Risks, 2014 In a diffusion model of risk, we focus on the initial capital needed to make the probability of ruin within finite time equal to a prescribed value. It is defined as a solution of a nonlinear equation.
Vsevolod K. Malinovskii
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Numerical Calculation of Finite-Time Ruin Probabilities in the Dual Risk Model
RisksIn the dual risk model, while the ultimate ruin probability has an exact and straightforward formula, the mathematics becomes significantly more complex when considering a finite time horizon, and the literature on this topic is scarce.
Rui M. R. Cardoso, Andressa C. O. Melo
doaj +1 more source
2D Magnetic and Topological Quantum Materials and Devices for Ultralow Power Spintronics
Advanced Functional Materials, EarlyView.2D magnets and topological quantum materials enable ultralow‐power spintronics by combining robust magnetic order with symmetry‐protected, Berry‐curvature‐driven transport. Fundamentals of 2D anisotropy and spin‐orbit‐coupling induced band inversion are linked to scalable growth and vdW stacking.
Brahmdutta Dixit +5 more
wiley +1 more source