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Ruin Time and Severity for a Lévy Subordinator Claim Process: A Simple Approach
Risks, 2013 This paper is concerned with an insurance risk model whose claim process is described by a Lévy subordinator process. Lévy-type risk models have been the object of much research in recent years. Our purpose is to present, in the case of a subordinator, a
Claude Lefèvre, Philippe Picard
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A Duality Result for the Generalized Erlang Risk Model
Risks, 2014 In this article, we consider the generalized Erlang risk model and its dual model. By using a conditional measure-preserving correspondence between the two models, we derive an identity for two interesting conditional probabilities.
Lanpeng Ji, Chunsheng Zhang
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Sophisticated gamblers ruin and survival chances [PDF]
, 2013 This note explores the mathematical theory to solve modern gamblers ruin problems. We establish a ruin framework and solve for the probability of bankruptcy.
Mehta, Salil
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Gambler’s ruin probability—A general formula [PDF]
Statistics & Probability Letters, 2013 11 ...
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On the accuracy of phase-type approximations of heavy-tailed risk models [PDF]
, 2012 Numerical evaluation of ruin probabilities in the classical risk model is an important problem. If claim sizes are heavy-tailed, then such evaluations are challenging.
Adan, Ivo J. B. F. +3 more
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A Risk Model with an Observer in a Markov Environment
Risks, 2013 We consider a spectrally-negative Markov additive process as a model of a risk process in a random environment. Following recent interest in alternative ruin concepts, we assume that ruin occurs when an independent Poissonian observer sees the process as
Hansjörg Albrecher, Jevgenijs Ivanovs
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Exemplification of Ruin Probabilities [PDF]
ASTIN Bulletin, 1971 The following numerical values of ruin probabilities, Ψ(u, T) for finite times T, have been calculated by the method proposed in “Analytical steps towards a numerical calculation of the ruin probability for a finite period when the risk process is of the Poisson type or of the more general type studied by Sparre Andersen”, presented to this colloquium ...
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Ruin probabilities and decompositions for general perturbed risk processes [PDF]
, 2003 We study a general perturbed risk process with cumulative claims modelled by a subordinator with finite expectation, with the perturbation being a spectrally negative Levy process with zero expectation.
Huzak, Miljenko +3 more
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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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Inequalities for the ruin probability in a controlled discrete-time risk process [PDF]
, 2009 Ruin probabilities in a controlled discrete-time risk process with a Markov chain interest are studied. To reduce the risk there is a possibility to reinsure a part or the whole reserve. Recursive and integral equations for ruin probabilities are given.
Diasparra, Maikol, Romera, Rosario
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