Numerical Ruin Probability in the Dual Risk Model with Risk-Free Investments
Risks, 2018 In this paper, a dual risk model under constant force of interest is considered. The ruin probability in this model is shown to satisfy an integro-differential equation, which can then be written as an integral equation. Using the collocation method, the
Sooie-Hoe Loke, Enrique Thomann
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Gambler’s ruin probability—A general formula [PDF]
Statistics & Probability Letters, 2013 11 ...
Guy Katriel
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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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Convexity of Ruin Probability and Optimal Dividend Strategies for a General Lévy Process. [PDF]
ScientificWorldJournal, 2015 Yin C, Yuen KC, Shen Y.
europepmc +3 more sources
The finite-time ruin probability for an inhomogeneous renewal risk model
, 2016 In the paper, we give an asymptotic formula for the finite-time ruin probability in a generalized renewal risk model. We consider the renewal risk model with independent strongly subexponential claim sizes and independent not necessarily identically ...
Emilija Bernackaitė, Jonas Šiaulys
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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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Finite-time ruin probability for correlated Brownian motions [PDF]
Scandinavian Actuarial Journal, 2020 Let be a two-dimensional Gaussian process with standard Brownian motion marginals and constant correlation . Define the joint survival probability of both supremum functionals by where and u, v are given positive constants.
K. Dȩbicki +2 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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Reinsurance and Solvency Capital: Mitigating Insurance Companies’ Ruin Probability
, 2022 Context: insurance companies are important to society, since they guarantee financial protection to individuals from property losses, in addition to fostering the capital market through the allocation of guarantee assets.
Jorge Wilson Euphasio +1 more
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