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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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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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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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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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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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Mathematics, 2020 This paper is devoted to the investigation of the ruin probability in the risk model with stochastic premiums where dividends are paid according to a multi-layer dividend strategy.
Olena Ragulina, Jonas Šiaulys
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Modelling forest ruin due to climate hazards [PDF]
Earth System Dynamics, 2021 Estimating the risk of forest collapse due to extreme climate events is one of the challenges of adapting to climate change. We adapt a concept from ruin theory, which is widely used in econometrics and the insurance industry, to design a growth–ruin ...
P. Yiou, N. Viovy
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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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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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