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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 In this paper, we consider the optimal dividends problem for a company whose cash reserves follow a general Levy process with certain positive jumps and arbitrary negative jumps.
Yin C, Yuen KC, Shen Y.
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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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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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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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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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Ruin Probability for the Insurer–Reinsurer Model for Exponential Claims: A Probabilistic Approach
Risks, 2021 In this paper, we consider a two-dimensional risk process in which the companies split each claim and premium in a fixed proportion. It serves as a classical framework of a quota-share reinsurance contract for a given business line.
Krzysztof Burnecki +2 more
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RUIN PROBABILITY IN THE CLASSICAL RISK PROCESS WITH WEIBULL CLAIMS DISTRIBUTION
Barekeng, 2023 In the classical risk process, ruin is the situation when the surplus falls below zero. Ruin probability is a tool used to predict bankruptcy in the insurance company.
Dadang Amir Hamzah +2 more
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Infinite time ruin probability in inhomogeneous claims case
Lietuvos Matematikos Rinkinys, 2010 The article deals with the classical discrete-time risk model with non-identically distributed claims. The recursive formula of infinite time ruin probability is obtained, which enables to evaluate the probability to ruin with desired accuracy.
Eugenija Bieliauskienė +1 more
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Calculating Ruin Probabilities via Product Integration [PDF]
ASTIN Bulletin, 1997 AbstractWhen claims in the compound Poisson risk model are from a heavy-tailed distribution (such as the Pareto or the lognormal), traditional techniques used to compute the probability of ultimate ruin converge slowly to desired probabilities. Thus, faster and more accurate methods are needed.
Colin M. Ramsay +1 more
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