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Discounted probability of exponential parisian ruin: Diffusion approximation
Journal of Applied Probability, 2022AbstractWe analyze the discounted probability of exponential Parisian ruin for the so-called scaled classical Cramér–Lundberg risk model. As in Cohen and Young (2020), we use the comparison method from differential equations to prove that the discounted probability of exponential Parisian ruin for the scaled classical risk model converges to the ...
Xiaoqing Liang, Virginia R. Young
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Calculations of ruin probabilities concerning with claim occurrences
Acta Mathematica Scientia, 2010zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Wang, Shanshan +2 more
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Ordering of risks and ruin probabilities
Insurance: Mathematics and Economics, 1990zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kaas, R., van Heerwaarden, A. E.
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Scandinavian Actuarial Journal, 1982
Abstract In this article a summing up is made of the author's papers concerning the probability of ruin in a risk business. Results as well as proofs are reviewed. In certain cases not covered in the earlier papers a more systematic treatment is given. Primarily the probability of ruin for a finite time period is dealt with.
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Abstract In this article a summing up is made of the author's papers concerning the probability of ruin in a risk business. Results as well as proofs are reviewed. In certain cases not covered in the earlier papers a more systematic treatment is given. Primarily the probability of ruin for a finite time period is dealt with.
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Scandinavian Actuarial Journal, 1998
Abstract Upper and lower bounds are obtained for ruin probabilities with safety margin ρ in the case of known expectation, variance and range for the claim severity function.
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Abstract Upper and lower bounds are obtained for ruin probabilities with safety margin ρ in the case of known expectation, variance and range for the claim severity function.
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Estimation of ruin probabilities
Insurance: Mathematics and Economics, 1977Consider the compound Poisson claim size process generated by a distribution function B. Denote by W(t. x) the finite time non-ruin probability that the company will not be ruined before 1 starting with initial reserve x. Under appropriate conditions on B it is shown that W(t, χ)−W(∞, χ) is basically of the form exp{−θt−υχ}⋯t 32⋯χ for large t, where θ ...
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Ordering of risks and ruin probabilities
Insurance: Mathematics and Economics, 1986The authors consider the classical model in risk theory, where the individual claim amounts are i.i.d. random variables and the claim number process is a homogeneous Poisson process. They give upper and lower bounds of the infinite-time ruin probability for different cases of information on the claim size distribution.
Broeckx, F. +2 more
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Mixed poisson processes and the probability of ruin
Insurance: Mathematics and Economics, 1984zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Seal, Hilary L., Gerber, Hans U.
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Direct Calculation of Ruin Probabilities
The Journal of Risk and Insurance, 1986This paper gives a simple recursive method for calculating ultimate ruin probabilities. The method is especially easy to apply in practical situations of discrete claim size distributions for which a numerical illustration is given.
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Simple approximations of ruin probabilities
Insurance: Mathematics and Economics, 2000zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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