Results 271 to 280 of about 165,985,978 (306)

Evaluating ruin probabilities: a streamlined approach

2021
Summary: This paper deals with the ruin probability evaluation in a classical risk theory model, under different hypotheses about claims distribution. Our approach is totally innovative, and is based on the application of the mean-value theorem to solve the associated Volterra integral equation.
Paolo De Angelis, Roberto De Marchis, Mario Marino, Antonio Luciano Martire, Immacolata Oliva   +4 more
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Survival probability and ruin probability of a risk model

Applied Mathematics-A Journal of Chinese Universities, 2008
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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A Functional Approach for Ruin Probabilities

Stochastic Models, 2006
In the classical risk model with Poisson arrivals, we study a functional approach which can be used to obtain new approximation formulae for the probability of ultimate ruin. In particular, we consider a map Φ between appropriate function spaces with Φ(f) = ψ, where f denotes the density of claim sizes in the model and ψ is the function that gives the ...
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A class of approximations of ruin probabilities

Scandinavian Actuarial Journal, 1977
Abstract 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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Scale Functions and Ruin Probabilities

2013
The two main results from the previous chapters concerning the law of the maximum and minimum of the Cramer–Lundberg process can now be put to use in order to establish our first results concerning the classical ruin problem. We introduce the so-called scale functions, which will prove to be indispensable, both in this chapter and later, when ...
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Ruin probabilities

Scandinavian Actuarial Journal, 1971
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Ruin Probabilities

Journal of the American Statistical Association, 2002
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The joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin

Insurance: Mathematics and Economics, 1997
Hans U Gerber, Elias S W Shiu
exaly  

Ruin Probabilities

2000
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On ruin for the Erlang(n) risk process

Insurance: Mathematics and Economics, 2004
José Garrido, Shuanming Li
exaly