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Nonparametric Estimation of Probability of Ruin [PDF]
ASTIN Bulletin, 1986 AbstractThe finite and infinite horizon time probability of ruin are important parameters in the study of actuarial risk theory. This paper introduces procedures for directly estimating these key parameters from a random sample of observations without assumptions as to the parametric form of the distribution from which the observations arise.
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Simulation of Ruin Probabilities for Subexponential Claims [PDF]
ASTIN Bulletin, 1997 AbstractWe consider the classical risk model with subexponential claim size distribution. Three methods are presented to simulate the probability of ultimate ruin and we investigate their asymptotic efficiency. One, based upon a conditional Monte Carlo idea involving the order statistics, is shown to be asymptotically efficient in a certain sense.
Asmussen, Søren, Binswanger, K.
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Ruin Probability Functions and Severity of Ruin as a Statistical Decision Problem [PDF]
Risks, 2019 It is known that the classical ruin function under exponential claim-size distribution depends on two parameters, which are referred to as the mean claim size and the relative security loading. These parameters are assumed to be unknown and random, thus, a loss function that measures the loss sustained by a decision-maker who takes as valid a ruin ...
Emilio Gómez-Déniz +2 more
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Exemplification of Ruin Probabilities [PDF]
ASTIN Bulletin, 1971 The following numerical values of ruin probabilities, Ψ(u, T) for finite times T, have been calculated by the method proposed in “Analytical steps towards a numerical calculation of the ruin probability for a finite period when the risk process is of the Poisson type or of the more general type studied by Sparre Andersen”, presented to this colloquium ...
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Minimizing the Probability of Lifetime Exponential Parisian Ruin [PDF]
Journal of Optimization Theory and Applications, 2019 We find the optimal investment strategy in a Black-Scholes market to minimize the probability of so-called {\it lifetime exponential Parisian ruin}, that is, the probability that wealth exhibits an excursion below zero of an exponentially distributed time before the individual dies.
Liang, Xiaoqing, Young, Virginia R.
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Approximation of ruin probabilities via Erlangized scale mixtures [PDF]
Insurance: Mathematics and Economics, 2018 In this paper, we extend an existing scheme for numerically calculating the probability of ruin of a classical Cram r--Lundberg reserve process having absolutely continuous but otherwise general claim size distributions. We employ a dense class of distributions that we denominate Erlangized scale mixtures (ESM) and correspond to nonnegative and ...
Oscar Peralta +3 more
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On the Probability and Severity of Ruin [PDF]
ASTIN Bulletin, 1987 AbstractIn the usual model of the collective risk theory, we are interested in the severity of ruin, as well as its probability. As a quantitative measure, we propose G(u, y), the probability that for given initial surplus u ruin will occur and that the deficit at the time of ruin will be less than y, and the corresponding density g(u, y).
Gerber, Hans U. +2 more
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On moments based Padé approximations of ruin probabilities
Journal of Computational and Applied Mathematics, 2011 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
F. Avram, D. F. Chedom, HORVATH, Andras
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Ruin Analysis on a New Risk Model with Stochastic Premiums and Dependence Based on Time Series for Count Random Variables. [PDF]
Entropy (Basel), 2023 Guan L, Wang X.
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Regulation and Ruin Theory:Controlling the Probability of Failure [PDF]
, 2007 The standard theoretical approach underlying insurance regulation originates in actuarial methods and, more specifically, in ruin theory. It’s important to outline this theory, and then to discuss its limits, because it’s the one that most insurance practitioners or regulators have in mind when thinking about insurance regulation, partly, of course ...
Plantin, Guillaume, Rochet, Jean-Charles
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