Results 21 to 30 of about 2,087 (266)

Numerical Ruin Probability in the Dual Risk Model with Risk-Free Investments

Risks, 2018
In this paper, a dual risk model under constant force of interest is considered. The ruin probability in this model is shown to satisfy an integro-differential equation, which can then be written as an integral equation. Using the collocation method, the
Sooie-Hoe Loke, Enrique Thomann
doaj   +1 more source

Optimization method of ballistic blast fragmentation warhead striking aircraft in aircraft shelter

Xibei Gongye Daxue Xuebao, 2023
For evaluating the economy and feasibility about blast fragmentation warhead striking aircraft in aircraft shelter, taking a typical aircraft and single/double aircraft shelter as study objects, based on the thought of simple/quadratic surface fitting ...
YANG Jie, ZHAN Jun, CHEN Zhixiang, LIU Xianyi, ZHOU Zhiqing, LI Zhi   +5 more
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Applications of a change of measures technique for compound mixed renewal processes to the ruin problem

Modern Stochastics: Theory and Applications, 2021
In the present paper the change of measures technique for compound mixed renewal processes, developed in Tzaninis and Macheras [ArXiv:2007.05289 (2020) 1–25], is applied to the ruin problem in order to obtain an explicit formula for the probability of ...
Spyridon M. Tzaninis
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The probability of non-ruin of an insurance company with advertising expenses and investing in bank term deposit by MHull insurance of 10 Top insurance companies of Ukraine.

Науковий вісник Ужгородського університету. Серія: Математика і інформатика, 2018
The result presented in this paper is the second part of the paper {BoldyrevaZhmykhova2016}, where was constructed an equation which allows calculating the probability of non-ruin for the classical model of risk when an insurance company has promotional ...
В. О. Болдирєва, Т. В. Жмихова   +1 more
doaj   +1 more source

The Speed of Convergence of the Threshold Estimator of Ruin Probability under the Tempered α-Stable Lévy Subordinator

Mathematics, 2021
In this paper, a nonparametric estimator of ruin probability is introduced in a spectrally negative Lévy process where the jump component is a tempered α-stable subordinator.
Yuan Gao, Honglong You
doaj   +1 more source

Ruin probabilities in a Markovian shot-noise environment

Journal of Applied Probability, 2022
AbstractWe consider a risk model with a counting process whose intensity is a Markovian shot-noise process, to resolve one of the disadvantages of the Cramér–Lundberg model, namely the constant intensity of the Poisson process. Due to this structure, we can apply the theory of piecewise deterministic Markov processes on a multivariate process ...
Simon Pojer, Stefan Thonhauser
openaire   +3 more sources

Simulation of Ruin Probabilities for Subexponential Claims [PDF]

ASTIN Bulletin, 1997
AbstractWe consider the classical risk model with subexponential claim size distribution. Three methods are presented to simulate the probability of ultimate ruin and we investigate their asymptotic efficiency. One, based upon a conditional Monte Carlo idea involving the order statistics, is shown to be asymptotically efficient in a certain sense.
Asmussen, Søren, Binswanger, K.
openaire   +2 more sources

Second order corrections for the limits of normalized ruin times in the presence of heavy tails

Stochastic Systems, 2014
In this paper we consider a compound Poisson risk model with regularly varying claim sizes. For this model in [4] an asymptotic formula for the finite time ruin probability is provided when the time is scaled by the mean excess function. In this paper
Dominik Kortschak, Søren Asmussen
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Simple approximations for the ruin probability in the risk model with stochastic premiums and a constant dividend strategy

Modern Stochastics: Theory and Applications, 2020
We deal with a generalization of the risk model with stochastic premiums where dividends are paid according to a constant dividend strategy and consider heuristic approximations for the ruin probability.
Olena Ragulina
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Ruin Probability Approximations in Sparre Andersen Models with Completely Monotone Claims

Risks, 2019
We consider the Sparre Andersen risk process with interclaim times that belong to the class of distributions with rational Laplace transform. We construct error bounds for the ruin probability based on the Pollaczek−Khintchine formula, and develop ...
Hansjörg Albrecher, Eleni Vatamidou
doaj   +1 more source