Results 11 to 20 of about 65,049 (289)
Ruin Analysis on a New Risk Model with Stochastic Premiums and Dependence Based on Time Series for Count Random Variables [PDF]
Entropy, 2023 In this paper, we propose a new discrete-time risk model of an insurance portfolio with stochastic premiums, in which the temporal dependence among the premium numbers of consecutive periods is fitted by the first-order integer-valued autoregressive ...
Lihong Guan, Xiaohong Wang
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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).
Hans U. Gerber +2 more
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Ruin Probability for Stochastic Flows of Financial Contract under Phase-Type Distribution
Risks, 2020 This paper examines the impact of the parameters of the distribution of the time at which a bank’s client defaults on their obligated payments, on the Lundberg adjustment coefficient, the upper and lower bounds of the ruin probability.
Franck Adékambi, Kokou Essiomle
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Ruin Probability for the Insurer–Reinsurer Model for Exponential Claims: A Probabilistic Approach
Risks, 2021 In this paper, we consider a two-dimensional risk process in which the companies split each claim and premium in a fixed proportion. It serves as a classical framework of a quota-share reinsurance contract for a given business line.
Krzysztof Burnecki +2 more
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Ruin probability in finite time [PDF]
, 2011 In examining the nature of the risk associated with a portfolio of business, it is often of interest to assess how the portfolio may be expected to perform over an extended period of time. One approach involves the use of ruin theory (Panjer and Willmot, 1992).
Krzysztof Burnecki, Marek Teuerle
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Fourier/Laplace Transforms and Ruin Probabilities [PDF]
ASTIN Bulletin, 2002 AbstractIn this paper we use Fourier/Laplace transforms to evaluate numerically relevant probabilities in ruin theory as an application to insurance. The transform of a function is split in two: the real and the imaginary parts. We use an inversion formula based on the real part only, to get the original function.By using an appropriate algorithm to ...
Lima, Fátima D. E. +2 more
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RUIN PROBABILITY IN THE CLASSICAL RISK PROCESS WITH WEIBULL CLAIMS DISTRIBUTION
Barekeng, 2023 In the classical risk process, ruin is the situation when the surplus falls below zero. Ruin probability is a tool used to predict bankruptcy in the insurance company.
Dadang Amir Hamzah +2 more
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Risks, 2019 A statistical inference for ruin probability from a certain discrete sample of the surplus is discussed under a spectrally negative Lévy insurance risk.
Yasutaka Shimizu, Zhimin Zhang
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Gerber-Shiu Metrics for a Bivariate Perturbed Risk Process
Risks, 2023 We consider a two-dimensional risk model with simultaneous Poisson arrivals of claims. Each claim of the first input process is at least as large as the corresponding claim of the second input process.
Onno Boxma, Fabian Hinze, Michel Mandjes
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Infinite time ruin probability in inhomogeneous claims case
Lietuvos Matematikos Rinkinys, 2010 The article deals with the classical discrete-time risk model with non-identically distributed claims. The recursive formula of infinite time ruin probability is obtained, which enables to evaluate the probability to ruin with desired accuracy.
Eugenija Bieliauskienė +1 more
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