Ruin probability analysis in geometric inhomogeneous claims case
Lietuvos Matematikos Rinkinys, 2011 The discrete time risk model with inhomogeneous claims is analyzed. The finite time ruin probability expression is obtained for the case when claims are distributed by geometric distribution with changing parameters.
Eugenija Bieliauskienė
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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.
Claude Lefèvre, Stéphane Loisel
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Ruin Time and Severity for a Lévy Subordinator Claim Process: A Simple Approach
Risks, 2013 This paper is concerned with an insurance risk model whose claim process is described by a Lévy subordinator process. Lévy-type risk models have been the object of much research in recent years. Our purpose is to present, in the case of a subordinator, a
Claude Lefèvre, Philippe Picard
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Sensitivity analysis and density estimation for finite-time ruin probabilities
Journal of Computational and Applied Mathematics, 2008 The authors present a computational method for finite-time ruin probability. The estimation procedure is based on the sensitivity Malliavin calculus. Nevertheless since considered density functions do not satisfy the required smoothness conditions the authors modify the algorithm using direct integration by parts that leads to an explicit probabilistic
Stéphane Loisel, Nicolas Privault
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Queues and risk processes with dependencies [PDF]
, 2013 We study the generalization of the G/G/1 queue obtained by relaxing the assumption of independence between inter-arrival times and service requirements. The analysis is carried out for the class of multivariate matrix exponential distributions introduced
Badila, E. S. +2 more
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Finite Time Non-Ruin Probability Formulae for Erlang Claim Interarrivals and Continuous Interdependent Claim Severities [PDF]
, 2011 A closed form expression, in terms of some functions which we call exponential Appell polynomials, for the probability of non-ruin of an insurance company, in a finite-time interval is derived, assuming independent, non-identically Erlang distributed ...
Ignatov, Z. G., Kaishev, V. K.
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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
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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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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
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The ruin probability of a discrete risk model with unilateral linear dependent claims
AIMS MathematicsThis article focuses on analyzing the finite-time ruin probability within a specific class of discrete risk models. These models incorporate dependent claims, an interest rate component, and stationary noise terms exhibiting semi-heavy-tailed behavior ...
Huifang Yuan , Tao Jiang, Min Xiao
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