Results 181 to 190 of about 1,935 (215)

RPA pathwise derivative estimation of ruin probabilities

Insurance: Mathematics and Economics, 2000
The surplus process of an insurance portfolio, defined as the wealth obtained by the premium payments minus the reimbursements made at the times of claims, is studied in the case where the wealth available is invested at a continuously compounded rate \(\delta\): \[ dU(t) = (c + \delta U(t)) dt - dS(t); \quad U(0) = u.
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Intersections of ruin probability functions

2010
U disertaciji se proučavaju presjecišta dvaju funkcija propasti za različite parove slučajnih procesa. Najprije opišemo osnovni objekt proučavanja - Levyjev proces, sa posebnim naglaskom na spektralno negativan Levyjev proces. Zatim uspoređujemo vjerojatnosti propasti obzirom na početni kapital za dva različita spektralno negativna Levyjeva procesa ...
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Convolution of uniform distributions and ruin probability

Scandinavian Actuarial Journal, 1987
This paper presents an “operational calculus” method for evaluating the convolution of uniform distributions and applies it to solve a problem in ruin theory.
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Probability of ruin with variable premium rate

Scandinavian Actuarial Journal, 1980
Abstract The probability of ruin is investigated under the influence of a premium rate which varies with the level of free reserves. Section 4 develops a number of inequalities for the ruin probability, establishing upper and lower bounds for it in Theorem 4.
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On the Asymptotics of the Ruin Probability

Theory of Probability & Its Applications, 2015
We obtain an asymptotic representation of the ruin probability for a random walk with negative drift when the upper bound of the strip tends to infinity. The result is expressed via distributions of the trajectory supremum and overshoot below negative level.
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The probability of ruin in finite time

Lithuanian Mathematical Journal, 1999
The paper deals with the Sparre Andersen model in the collective risk theory. Denote by \(\tau\) the ruin moment; \(\Psi(x,n)= P(\tau(x)\leq n)\) and \(\Psi(x)= P(\tau(x)\leq \infty)\) are, respectively, the probability of ruin before the \(n\)th payoff and in infinite time.
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Premium calculation using the probability of ruin

2010
Summary: We introduce a new premium calculation principle called the standard deviation-skewness premium calculation principle. This premium calculation principle, which satisfies most of the desirable properties of premium calculation principles, has two unknown parameters, \(\alpha_1\) and \(\alpha_2\). These parameters are determined by setting ruin
Chu, KL, Yuen, KC, Yang, H
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The parallelization of a two-phase distributed hybrid ruin-and-recreate genetic algorithm for solving multi-objective vehicle routing problem with time windows

Expert Systems With Applications, 2021
Thau-Soon Khoo
exaly  

Road to Ruin: Targeting Proteins for Degradation in the Endoplasmic Reticulum

Science, 2011
Hidde L Ploegh, Jonathan S Weissman
exaly  

Growth paths and survival chances: An application of Gambler's Ruin theory

Journal of Business Venturing, 2013
alexander Coad, Richard G Roberts, David J Storey   +2 more
exaly