Uniform asymptotics for ruin probabilities in a two-dimensional nonstandard renewal risk model with stochastic returns [PDF]
Journal of Inequalities and Applications, 2018 In this paper, we consider a two-dimensional nonstandard renewal risk model with stochastic returns, in which the two lines of claim sizes form a sequence of independent and identically distributed random vectors following a bivariate Sarmanov ...
Yinghua Dong, Dingcheng Wang
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Company Value with Ruin Constraint in a Discrete Model
Risks, 2018 Optimal dividend payment under a ruin constraint is a two objective control problem which—in simple models—can be solved numerically by three essentially different methods.
Christian Hipp
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Understanding gambling behaviour and risk attitudes using cryptocurrency-based casino blockchain data [PDF]
Royal Society Open Science, 2020 The statistical concept of gambler’s ruin suggests that gambling has a large amount of risk. Nevertheless, gambling at casinos and gambling on the Internet are both hugely popular activities.
Jonathan Meng, Feng Fu
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How Much We Gain by Surplus-Dependent Premiums—Asymptotic Analysis of Ruin Probability
Risks, 2021 In this paper, we generate boundary value problems for ruin probabilities of surplus-dependent premium risk processes, under a renewal case scenario, Erlang (2) claim arrivals, and a hypoexponential claims scenario, Erlang (2) claim sizes.
Jing Wang +2 more
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Effect of Stop-Loss Reinsurance on Primary Insurer Solvency
Risks, 2022 Stop-loss reinsurance is a risk management tool that allows an insurance company to transfer part of their risk to a reinsurance company. Ruin probabilities allow us to measure the effect of stop-loss reinsurance on the solvency of the primary insurer ...
Corina Constantinescu +4 more
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Discrete-Time Risk Models with Claim Correlated Premiums in a Markovian Environment
Risks, 2021 In this paper we consider a discrete-time risk model, which allows the premium to be adjusted according to claims experience. This model is inspired by the well-known bonus-malus system in the non-life insurance industry.
Dhiti Osatakul, Xueyuan Wu
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Finite-Time Ruin Probabilities of Bidimensional Risk Models with Correlated Brownian Motions
Mathematics, 2023 The present work concerns the finite-time ruin probabilities for several bidimensional risk models with constant interest force and correlated Brownian motions. Under the condition that the two Brownian motions {B1(t),t≥0} and {B2(t),t≥0} are correlated,
Dan Zhu, Ming Zhou, Chuancun Yin
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Abel-Gontcharoff polynomials, parking trajectories and ruin probabilities
Dependence Modeling, 2023 The central mathematical tool discussed is a non-standard family of polynomials, univariate and bivariate, called Abel-Goncharoff polynomials. First, we briefly summarize the main properties of this family of polynomials obtained in the previous work ...
Lefèvre Claude, Picard Philippe
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Ruin probabilities as functions of the roots of a polynomial
Modern Stochastics: Theory and Applications, 2023 A new formula for the ultimate ruin probability in the Cramér–Lundberg risk process is provided when the claims are assumed to follow a finite mixture of m Erlang distributions.
David J. Santana, Luis Rincón
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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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