Results 11 to 20 of about 18,126 (284)
Ruin Probabilities with Dependence on the Number of Claims within a Fixed Time Window [PDF]
Risks, 2016 We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival times depending on the claims that arrive within a fixed (past) time window. This dependence could be explained through a regenerative structure.
Corina Constantinescu +3 more
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Risks, 2016 We consider a discrete-time dependent Sparre Andersen risk model which incorporates multiple threshold levels characterizing an insurer’s minimal capital requirement, dividend paying situations, and external financial activities.
Sung Soo Kim, Steve Drekic
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On Barrier Binary Options in the Telegraph-like Financial Market Model
Computation, 2022 The article continues the study of the market model based on jump-telegraph processes. It is assumed that the price of a risky asset follows the stochastic exponential of a piecewise linear process, equipped with jumps that occur at the moments of a ...
Nikita Ratanov
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General bounds on ruin probabilities [PDF]
Insurance: Mathematics and Economics, 1986 In this contribution we consider general bounds ruin probabilities when the claim severity distribution is not exponentially bounded, but in case the moments of the distribution up to a certain order, say r, exist.
R. Kaas, M.J. Goovaerts
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Ruin Probability for Stochastic Flows of Financial Contract under Phase-Type Distribution
Risks, 2020 This paper examines the impact of the parameters of the distribution of the time at which a bank’s client defaults on their obligated payments, on the Lundberg adjustment coefficient, the upper and lower bounds of the ruin probability.
Franck Adékambi, Kokou Essiomle
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Ruin Probability in Compound Poisson Process with Investment
Journal of Applied Mathematics, 2012 We consider that the surplus of an insurer follows compound Poisson process and the insurer would invest its surplus in risky assets, whose prices satisfy the Black-Scholes model. In the risk process, we decompose the ruin probability into the sum of two
Yong Wu, Xiang Hu
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Ruin probability in finite time [PDF]
, 2011 In examining the nature of the risk associated with a portfolio of business, it is often of interest to assess how the portfolio may be expected to perform over an extended period of time. One approach involves the use of ruin theory (Panjer and Willmot, 1992).
Krzysztof Burnecki, Marek Teuerle
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Estimating Tail Probabilities of Random Sums of Phase-Type Scale Mixture Random Variables
Algorithms, 2022 We consider the problem of estimating tail probabilities of random sums of scale mixture of phase-type distributions—a class of distributions corresponding to random variables which can be represented as a product of a non-negative but otherwise ...
Hui Yao, Thomas Taimre
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Risky investments and survival probability in the insurance model with two-sided jumps: Problems for integrodifferential equations and ordinary differential equation and their equivalence [PDF]
Известия Саратовского университета. Новая серия: Математика. Механика. Информатика, 2023 We consider a model of an insurance portfolio that includes both non-life and life annuity insurance while assuming that the surplus (or some of its fraction) is invested in risky assets with the price dynamics given by a geometric Brownian motion.
Belkina, Tatiana Andreevna +1 more
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Calculating Ruin Probabilities via Product Integration [PDF]
ASTIN Bulletin, 1997 AbstractWhen claims in the compound Poisson risk model are from a heavy-tailed distribution (such as the Pareto or the lognormal), traditional techniques used to compute the probability of ultimate ruin converge slowly to desired probabilities. Thus, faster and more accurate methods are needed.
Colin M. Ramsay +1 more
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