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Scandinavian Actuarial Journal, 2022
The paper investigates ultimate ruin probability, the probability that ruin time is finite, for an insurance company whose risk reserves follow a Markov-modulated jump–diffusion risk model.
Yuxuan Liu, Zhengjun Jiang, Yiwen Zhang
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The paper investigates ultimate ruin probability, the probability that ruin time is finite, for an insurance company whose risk reserves follow a Markov-modulated jump–diffusion risk model.
Yuxuan Liu, Zhengjun Jiang, Yiwen Zhang
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Scandinavian Actuarial Journal, 2021
Suppose that risk reserves of an insurance company are governed by a Markov-modulated classical risk model with parameters modulated by a finite-state irreducible Markov chain. The main purpose of this paper is to calculate ultimate ruin probability that
Zhengjun Jiang
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Suppose that risk reserves of an insurance company are governed by a Markov-modulated classical risk model with parameters modulated by a finite-state irreducible Markov chain. The main purpose of this paper is to calculate ultimate ruin probability that
Zhengjun Jiang
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Finite-time ruin probabilities using bivariate Laguerre series
Scandinavian Actuarial Journal, 2022In this paper, we revisit the finite-time ruin probability in the classical compound Poisson risk model. Traditional general solutions to finite-time ruin problems are usually expressed in terms of infinite sums involving the convolutions related to the ...
Eric C. K. Cheung +3 more
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Journal of Applied Probability, 2022
This study deals with the ruin problem when an insurance company having two business branches, life insurance and non-life insurance, invests its reserves in a risky asset with the price dynamics given by a geometric Brownian motion. We prove a result on
Y. Kabanov, Nikita Pukhlyakov
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This study deals with the ruin problem when an insurance company having two business branches, life insurance and non-life insurance, invests its reserves in a risky asset with the price dynamics given by a geometric Brownian motion. We prove a result on
Y. Kabanov, Nikita Pukhlyakov
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Probability in the engineering and informational sciences (Print), 2022
This paper studies a generalization of the Gerber-Shiu expected discounted penalty function [Gerber and Shiu (1998). On the time value of ruin. North American Actuarial Journal 2(1): 48–72] in the context of the perturbed compound Poisson insurance risk ...
Eric C. K. Cheung, Haibo Liu
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This paper studies a generalization of the Gerber-Shiu expected discounted penalty function [Gerber and Shiu (1998). On the time value of ruin. North American Actuarial Journal 2(1): 48–72] in the context of the perturbed compound Poisson insurance risk ...
Eric C. K. Cheung, Haibo Liu
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Ruin-related problems in the dual risk model under two different randomized observations
Communications in Statistics - Theory and Methods, 2022In this article, the dual risk model with two-sided jumps and two different randomized observations is considered. The dividend observation and ruin observation are supervised by two departments respectively.
Yingchun Deng +4 more
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Functional sensitivity analysis of ruin probability in the classical risk models
Scandinavian Actuarial Journal, 2021Sensitivity analysis investigates how the change in the output of a computational model can be attributed to changes of its input parameters.
Fatah Cheurfa +3 more
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Ruin(ed) policies: why we should aim for protecting ruins regionally
The International Journal of Cultural Policy, 2022Ruins are of high cultural significance and their protection is an important policy issue. This article argues that a focus on regional policies might in some instances help to counter ruined policies.
Lando Kirchmair
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Scandinavian Actuarial Journal, 2021
Although the ruin probability in a renewal insurance risk model with credit interest may be viewed as a classical research problem, exact solutions are only available in the literature in very special cases when both the claim amounts and the interclaim ...
Eric C. K. Cheung, Zhimin Zhang
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Although the ruin probability in a renewal insurance risk model with credit interest may be viewed as a classical research problem, exact solutions are only available in the literature in very special cases when both the claim amounts and the interclaim ...
Eric C. K. Cheung, Zhimin Zhang
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Minimizing the probability of absolute ruin under the mean‐variance premium principle
Optimal control applications & methods, 2021In this article, we assume that the insurer can purchase per‐loss reinsurance and invest its surplus in a financial market consisting of a risk‐free asset and a risky asset.
Xiaoru Han, Zhibin Liang, K. Yuen
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