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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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.
Konstantinides, DG, Ng, KW, Tang, Q
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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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Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities [PDF]
Methodology and Computing in Applied Probability, 2009 An important question in insurance is how to evaluate the probabilities of (non-) ruin of a company over any given horizon of finite length. This paper aims to present some (not all) useful methods that have been proposed so far for computing, or approximating, these probabilities in the case of discrete claim severities.
Loisel, Stéphane, Lefèvre, Claude
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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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Journal of Computational and Applied Mathematics, 2017 Yang Yang, Ting Zhang, Kam Chuen Yuen
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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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Sharp conditions for certain ruin in a risk process with stochastic return on investments [PDF]
, 1998 We consider a classical risk process compounded by another independent process. Both of these component processes are assumed to be Lévy processes. Sharp conditions are given on the parameters of these two components to ensure when ruin is certain, and ...
Paulsen, Jostein
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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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