Results 1 to 10 of about 11,882,853 (287)
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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Ruin Probabilities with Investments in Random Environment: Smoothness [PDF]
Mathematics, 2023 This paper deals with the ruin problem of an insurance company investing its capital reserve in a risky asset with the price dynamics given by a conditional geometric Brownian motion whose parameters depend on a Markov process describing random ...
Viktor Antipov, Yuri Kabanov
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Ruin Probability Functions and Severity of Ruin as a Statistical Decision Problem [PDF]
Risks, 2019 It is known that the classical ruin function under exponential claim-size distribution depends on two parameters, which are referred to as the mean claim size and the relative security loading. These parameters are assumed to be unknown and random, thus,
Emilio Gómez-Déniz +2 more
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Discounted penalty function at Parisian ruin for Lévy insurance risk process [PDF]
Insurance: Mathematics and Economics, 2018 In the setting of a L vy insurance risk process, we present some results regarding the Parisian ruin problem which concerns the occurrence of an excursion below zero of duration bigger than a given threshold $r$. First, we give the joint Laplace transform of ruin-time and ruin-position (possibly killed at the first-passage time above a fixed level $b$)
R. Loeffen, Z. Palmowski, B.A. Surya
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On the Expected Discounted Penalty Function Using Physics-Informed Neural Network
Journal of Mathematics, 2023 We study the expected discounted penalty at ruin under a stochastic discount rate for the compound Poisson risk model with a threshold dividend strategy. The discount rate is modeled by a Poisson process and a standard Brownian motion.
Jiayu Wang, Houchun Wang
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De Finetti’s optimal dividends problem with an affine penalty function at ruin [PDF]
Insurance: Mathematics and Economics, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Loeffen, Ronnie L. +1 more
semanticscholar +5 more sources
Analyzing Sequential Betting with a Kelly-Inspired Convective-Diffusion Equation [PDF]
EntropyThe purpose of this article is to analyze a sequence of independent bets by modeling it with a convective-diffusion equation (CDE). The approach follows the derivation of the Kelly Criterion (i.e., with a binomial distribution for the numbers of wins and
Darrell Velegol, Kyle J. M. Bishop
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On the expected discounted penalty function at ruin of a surplus process with interest [PDF]
Insurance: Mathematics and Economics, 2002 The paper deals with the ruin problem for an insurer, who receives interest on its surplus at time \(t\), \(U_{\delta}(t)\), at the constant force \(\delta\) per unit time. In particular the expected value of a discounted penalty function at ruin is investigated. Denoted by \(T_{\delta}\) the time of ruin, \(u\) the inizial surplus and \(\alpha\) a non-
Cai, Jun, Dickson, David C. M.
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Journal of Mathematics, 2022 In this paper, the intention was to reduce the possibility of ruin in the insurance company by maximizing its survival function. This paper uses a perturbed classical risk process as the basic model.
Masoud Komunte +2 more
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Fix Fairness, Don’t Ruin Accuracy: Performance Aware Fairness Repair using AutoML [PDF]
ESEC/SIGSOFT FSE, 2023 Machine learning (ML) is increasingly being used in critical decision-making software, but incidents have raised questions about the fairness of ML predictions. To address this issue, new tools and methods are needed to mitigate bias in ML-based software.
Giang Nguyen +2 more
semanticscholar +1 more source