Results 1 to 10 of about 1,561,065 (313)
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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Mathematics, 2021 This paper considers the estimation of ruin probability in an insurance risk model with stochastic premium income. We first show that the ruin probability can be approximated by the complex Fourier series (CFS) expansion method.
Yujuan Huang +3 more
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Approximations of the ruin probability in a discrete time risk model [PDF]
Modern Stochastics: Theory and Applications, 2020 Based on a discrete version of the Pollaczeck–Khinchine formula, a general method to calculate the ultimate ruin probability in the Gerber–Dickson risk model is provided when claims follow a negative binomial mixture distribution.
David J. Santana, Luis Rincón
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Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance. [PDF]
J Inequal Appl, 2018 This paper investigates optimal investment and reinsurance policies for an insurance company under a correlated risk model with common Poisson shocks. The goal of the insurance company is to minimize the ultimate ruin probability.
Xu L, Wang M, Zhang B.
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Risks, 2019 A statistical inference for ruin probability from a certain discrete sample of the surplus is discussed under a spectrally negative Lévy insurance risk.
Yasutaka Shimizu, Zhimin Zhang
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Numerical Ruin Probability in the Dual Risk Model with Risk-Free Investments
Risks, 2018 In this paper, a dual risk model under constant force of interest is considered. The ruin probability in this model is shown to satisfy an integro-differential equation, which can then be written as an integral equation. Using the collocation method, the
Sooie-Hoe Loke, Enrique Thomann
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ABOUT RISK PROCESS ESTIMATION TECHNIQUES EMPLOYED BY A VIRTUAL ORGANIZATION WHICH IS DIRECTED TOWARDS THE INSURANCE BUSINESS [PDF]
Annals of the University of Oradea: Economic Science, 2008 In a virtual organization directed on the insurance business, the estimations of the risk process and of the ruin probability are important concerns: for researchers, at the theoretical level, and for the management of the company, as these influence the
Covrig Mihaela, Serban Radu
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Uniform Asymptotic Probability for Multi Renewal Risk Model with Strong Subexponential Tailed Claims [PDF]
International Journal of Mathematical, Engineering and Management Sciences, 2022 In this paper, we study the uniform asymptotic behavior for the ruin probability in a continuous time renewal counting process. For the proposed model, we assume that the financial claims for each extreme event are compensated by a finite number of ...
Fotis Loukissas, Alex Karagrigoriou
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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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Finite-time ruin probability for correlated Brownian motions [PDF]
Scandinavian Actuarial Journal, 2020 Let be a two-dimensional Gaussian process with standard Brownian motion marginals and constant correlation . Define the joint survival probability of both supremum functionals by where and u, v are given positive constants.
K. Dȩbicki +2 more
semanticscholar +1 more source