Analytical and numerical approach to corporate operational risk modelling [PDF]
Although The New Basel Accord gives the methodology for managing operational risk in financial institutions, corporate risk seems not to be recognized enough. In this Ph.D.
Pawel Mista
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Ruin Analysis on a New Risk Model with Stochastic Premiums and Dependence Based on Time Series for Count Random Variables. [PDF]
Entropy (Basel), 2023 Guan L, Wang X.
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The Gerber-Shiu expected discounted penalty-reward function under an affine jump-diffusion model. [PDF]
We provide a unified analytical treatment of first passage problems under an affine state-dependent jump-diffusion model (with drift and volatility depending linearly on the state).
Avram, Florin, Usábel, Miguel A.
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Fear of ruin and longevity enhancing investment [PDF]
Rectangularization of the survival probability seems to be an ongoing process. It results from a higher concentration of the ages at death; but it can be reversed by a continuous increase in the limit of life time. In this paper, we assume that these two
EECKHOUDT, Louis, PESTIEAU, Pierre
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A Threshold Estimator for Ruin Probability Using the Fourier-Cosine Method in the Wiener–Poisson Risk Model [PDF]
In this paper, we propose a nonparametric estimator of ruin probability in the Wiener–Poisson risk model based on high-frequency data. The estimator is constructed via the Fourier-cosine method and the threshold technique, and the convergence rate ...
Honglong You, Chongkai Xie
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A risk model for insurance companies on time scales
Қарағанды университетінің хабаршысы. Математика сериясыThis article deals with the problems of constructing and analyzing a collective risk model for an insur- ance company when the time evolution is defined on a general time scale.
O. Stanzhytskyi, R. Uteshova
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Parisian ruin of self-similar Gaussian risk processes [PDF]
, 2015 In this paper we derive the exact asymptotics of the probability of Parisian ruin for self-similar Gaussian risk processes. Additionally, we obtain the normal approximation of the Parisian ruin time and derive an asymptotic relation between the Parisian ...
Debicki, K., Hashorva, E., Ji, L.
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EXPONENTIAL CONVERGENCE RATE OF RUIN PROBABILITIES FOR LEVEL-DEPENDENT LEVY-DRIVEN RISK PROCESSES [PDF]
, 2019 International audienceWe explicitly find the rate of exponential long-term convergence for the ruin probability in a level-dependent Lévy-driven risk model, as time goes to infinity.
Sarantsev, Andrey +1 more
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Intersections of two ruin probability functions [PDF]
, 2011 In this paper we study intersections of ruin probability functions for two risk models.The number of intersection points is determined for some of the most widely used models.
Slijepčević-Manger, Tatjana +1 more
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The Markovian Shot-noise Risk Model: A Numerical Method for Gerber-Shiu Functions. [PDF]
Methodol Comput Appl Probab, 2023 Pojer S, Thonhauser S.
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