Results 11 to 20 of about 66,591 (332)
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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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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General bounds on ruin probabilities [PDF]
Insurance: Mathematics and Economics, 1986 In this contribution we consider general bounds ruin probabilities when the claim severity distribution is not exponentially bounded, but in case the moments of the distribution up to a certain order, say r, exist.
R. Kaas, M.J. Goovaerts
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On the accuracy of phase-type approximations of heavy-tailed risk models [PDF]
, 2012 Numerical evaluation of ruin probabilities in the classical risk model is an important problem. If claim sizes are heavy-tailed, then such evaluations are challenging.
Adan, Ivo J. B. F. +3 more
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Ruin probability in finite time [PDF]
, 2011 In examining the nature of the risk associated with a portfolio of business, it is often of interest to assess how the portfolio may be expected to perform over an extended period of time. One approach involves the use of ruin theory (Panjer and Willmot, 1992).
Krzysztof Burnecki, Marek Teuerle
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Risks, 2019 A statistical inference for ruin probability from a certain discrete sample of the surplus is discussed under a spectrally negative Lévy insurance risk.
Yasutaka Shimizu, Zhimin Zhang
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