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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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Ruin Probability for the Insurer–Reinsurer Model for Exponential Claims: A Probabilistic Approach [PDF]
Risks, 2021 In this paper, we consider a two-dimensional risk process in which the companies split each claim and premium in a fixed proportion. It serves as a classical framework of a quota-share reinsurance contract for a given business line.
Krzysztof Burnecki +2 more
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Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance [PDF]
Journal of Inequalities and Applications, 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.
Lin Xu, Minghan Wang, Bin Zhang
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Computing ruin probability and minimum initial capital by simulation [PDF]
Songklanakarin Journal of Science and Technology (SJST), 2017 In this paper, we propose a new approximation method to obtain the ruin probability by modifying the PollaczekKhinchin approximation. The proposed approximation is simpler and requires fewer assumptions than other methods mentioned in the literature ...
Pawat Paksaranuwat, Samruam Chongcharoen
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Statistica, 2007 In the present note we consider the classical continuous time model of the collective theory of risk under the assumption that the claimsize distribution is DFR (decreasing failure rate) so that, according to well known queueing results, the ultimate ...
Luca Barzanti, Corrado Corradi
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Ruin Probability in Compound Poisson Process with Investment [PDF]
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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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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Ruin probability analysis in geometric inhomogeneous claims case
Lietuvos Matematikos Rinkinys, 2011 The discrete time risk model with inhomogeneous claims is analyzed. The finite time ruin probability expression is obtained for the case when claims are distributed by geometric distribution with changing parameters.
Eugenija Bieliauskienė
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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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