Results 171 to 180 of about 1,935 (215)
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A Note on the Convexity of Ruin Probabilities
SSRN Electronic Journal, 2017zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Landriault, David +4 more
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Two-sided bounds of ruin probabilities
Scandinavian Actuarial Journal, 1996Abstract A new method for obtaining two-sided bounds of ruin probabilities is proposed. This is based on the analysis of so-called geometric sums which are sums of i.i.d.r.v.'s and the number of summands is a r.v. also having a geometric distribution.
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Second Order Behaviour of Ruin Probabilities
Scandinavian Actuarial Journal, 1999The Sparre-Andersen model in the collective risk theory is investigated. Assuming that the claim-size is heavy-tailed, say subexponential, the second order asymptotic behaviour of ruin probabilities is obtained.
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Survival probability and ruin probability of a risk model
Applied Mathematics-A Journal of Chinese Universities, 2008zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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An insensitivity property of the ruin probability
Scandinavian Actuarial Journal, 1985Abstract We give an expression for Ψ(0), i.e., the ruin probability for an insurance business with no initial risk reserve, when the location of the claims is described by a general stationary point process.
Tomas Björk, Jan Grandell
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Ruin probabilities with random rates of interest
Journal of Shanghai University (English Edition), 2006zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Wang, Hanxing, Wan, Aihua
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A class of approximations of ruin probabilities
Scandinavian Actuarial Journal, 1977Abstract We shall in this paper consider approximation of a risk reserve process by a Wiener process. Our main mathematical tool is the theory of weak convergence of probability measures on metric spaces. Today Billingsley (1968) is the standard reference for that theory.
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The stability of the probability of ruin
Stochastic Models, 2019This article provides a computational formula for the the stability of the probability of ruin of the compound Poisson risk process.
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Ruin probabilities with dependent rates of interest
Journal of Applied Probability, 2002In this paper, we study ruin probabilities in two generalized risk models. The effects of timing of payments and interest on the ruin probabilities in the models are considered. The rates of interest are assumed to have a dependent autoregressive structure.
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On One Estimate of the Ruin Probability
Theory of Probability & Its Applications, 2008The paper deduces the inequality for the ruin probability from a Laplace formula for a player versus an infinitely rich opponent.
G. P. Ivanova, V. Ya. Kondratiev
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