Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin. [PDF]
We consider the classical risk model and carry out a sensitivity and robustness analysis of finite-time ruin probabilities. We provide algorithms to compute the related influence functions.
Stéphane Loisel +2 more
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Perspective: Hollow Core Optical Fibres for Ultraviolet and Visible Wavelengths
Advanced Science, EarlyView.Hollow core optical fibres bypass material constraints that limit optical fibres at ultraviolet and visible wavelengths. However, their challenging fabrication has limited their development, and significant gains in performance remain possible. In this perspective we outline approaches to enable the next generation of fibres for shorter wavelengths ...
Robbie Mears +5 more
wiley +1 more source
The ruin probability in a special case [PDF]
ASTIN Bulletin, 1971 It is fantastic how the computer has changed our attitude to numerical problems. In the old days when our numerical tools were paper, pencil, desk calculator and logarithm tables we had to stay away from formulas and methods which led to too lengthy calculations.
openaire +1 more source
Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes. [PDF]
The classical risk model is considered and a sensitivity analysis of finite-time ruin probabilities is carried out. We prove the weak convergence of a sequence of empirical finite-time ruin probabilities.
Stéphane Loisel +2 more
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Saddlepoint Approximations to the Probability of Ruin in Finite Time for the Compound Poisson Risk Process Perturbed by Diffusion [PDF]
, 2016 A large deviations type approximation to the probability of ruin within a finite time for the compound Poisson risk process perturbed by diffusion is derived.
Gatto, Riccardo, Baumgartner, Benjamin
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ML Workflows for Screening Degradation‐Relevant Properties of Forever Chemicals
Advanced Science, EarlyView.The environmental persistence of per‐ and polyfluoroalkyl substances (PFAS) necessitates efficient remediation strategies. This study presents physics‐informed machine learning workflows that accurately predict critical degradation properties, including bond dissociation energies and polarizability.
Pranoy Ray +3 more
wiley +1 more source
The win-first probability under interest force [PDF]
In a classical risk model under constant interest force, we study the probability that the surplus of an insurance company reaches an upper barrier before a lower barrier. We define this probability as win-first probability.
Stéphane Loisel, Didier Rullière
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Existence of a classical solution of a parabolic PIDE associated with ruin probability [PDF]
, 2012 In this article we will prove existence of a classical solution of the integro-differential equation for ruin probability in finite time stated in Paulsen (2008)
Hunting, Martin
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Ruin probabilities for the perturbed compound Poisson risk process with investment
, 2011 In this article, we consider the perturbed compound Poisson risk process with investment incomes. The risk reserve process is perturbed by an independent Brownian motion and the surplus is invested at a constant force of interest.
Ng, KW +5 more
core +1 more source
Ruin probability for heterogeneous loans [PDF]
, 2020 : This study examines the impact of losses and defaults using ruin theory and uses a heterogeneous portfolio of loans extending specifically to banking institutions.
Mashimbye, Felicia
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