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Approximating the Finite-Time Ruin Probability under Interest Force [PDF]
We present an algorithm to determine both a lower and an upper bound for the finite-time probability of ruin for a risk process with constant interest force. We split the time horizon into smaller intervals of equal length and consider the probability of
Brekelmans, R.C.M. +1 more
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Ruin in the perturbed compound Poisson risk process under interest force [PDF]
, 2005 In this paper, we study ruin in a perturbed compound Poisson risk process under stochastic interest force and constant interest force. By using the technique of stochastic control, we show that the ruin probability in the perturbed risk model is always ...
Cai, J, Yang, H
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Discrete Dynamics in Nature and Society, 2012 We consider the dynamic proportional reinsurance in a two-dimensional compound Poisson risk model. The optimization in the sense of minimizing the ruin probability which is defined by the sum of subportfolio is being ruined.
Yan Li, Guoxin Liu
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On ruin probabilities with risky investments
, 2020 10 ...
Ellanskaya, Anastasiya, Kabanov, Yuri
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ON THE TIME VALUE OF RUIN IN THE DISCRETE TIME RISK MODEL [PDF]
Using an approach similar to that of Gerber and Shiu (1998), a recursive formula is given for the expected discounted penalty due at ruin, in the discrete time risk model. With it the joint distribution of three random variables is obtained; time to ruin,
Shuanming Li, José Garrido
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Stochastic optimization for the ruin probability [PDF]
PAMM, 2003 AbstractThe Cramér‐Lundberg insurance model is studied where the risk process can be controlled by reinsurance and by investment in a financial market. The performance criterion is the ruin probability. The problem can be imbedded in the framework of discrete‐time stochastic dynamic programming.
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Ruin probability and optimal dividend policy for models with investment [PDF]
, 2012 In most countries the authorities impose capital requirements on insurance companies in order to avoid the adverse consequences to society when insurance companies default on claims. Since holding capital is costly, this naturally leads to the problem of
Hunting, Martin
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Journal of Applied Mathematics, 2014 Consider dividend problems in the diffusion model with interest and exponentially distributed observation time where dividends are paid according to a barrier strategy.
Cuilian Wang, Xiao Liu
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A note on the Taylor series expansions for multivariate characteristics of classical risk processes. [PDF]
The series expansion introduced by Frey and Schmidt (1996) [Taylor Series expansion for multivariate characteristics of classical risk processes.
Usábel, Miguel A.
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Probability of ruin for a dependent, two-dimensional poisson process [PDF]
A two-dimensional, dependent Poisson risk process is investigated in the paper. Claims are divided into two classes. Within each class claims have the same distribution, but claims belonging to different classes can have different distributions and the ...
Stanislaw Heilpern
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