Results 241 to 250 of about 65,033 (286)

Ruin probabilities with compounding assets

Insurance: Mathematics and Economics, 1999
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Dickson, David C. M., Waters, Howard R.
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Bounds of ruin probabilities

Scandinavian Actuarial Journal, 1998
Abstract Upper and lower bounds are obtained for ruin probabilities with safety margin ρ in the case of known expectation, variance and range for the claim severity function.
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Bounds for classical ruin probabilities

Insurance: Mathematics and Economics, 1984
This paper derives upper and lower bounds for the ruin probability over infinite time. The key observation is that if \(u=k*(1-u),\) then \(v-u=(v- k*(1-v))*(1-u),\) where \((f*g)(x)=\int^{x}_{0}f(x-y)dg(y)\). Applications to sub-exponential distributions are also given.
de Vylder, F., Goovaerts, M.
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Estimation of ruin probabilities

Insurance: Mathematics and Economics, 1977
Consider the compound Poisson claim size process generated by a distribution function B. Denote by W(t. x) the finite time non-ruin probability that the company will not be ruined before 1 starting with initial reserve x. Under appropriate conditions on B it is shown that W(t, χ)−W(∞, χ) is basically of the form exp{−θt−υχ}⋯t 32⋯χ for large t, where θ ...
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Evaluating ruin probabilities: a streamlined approach

2021
Summary: This paper deals with the ruin probability evaluation in a classical risk theory model, under different hypotheses about claims distribution. Our approach is totally innovative, and is based on the application of the mean-value theorem to solve the associated Volterra integral equation.
Paolo De Angelis, Roberto De Marchis, Mario Marino, Antonio Luciano Martire, Immacolata Oliva   +4 more
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Extremal Subexponentiality in Ruin Probabilities

Communications in Statistics - Theory and Methods, 2011
In this article, we consider risk models with a heavy-tailed parametric claim distribution from the subexponential class 𝒮 with at least two parameters. We choose the proper convergence of a parameter, such that the tail of the claims distribution becomes heavier, and then we study the limit behavior of the ruin probability.
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Direct Calculation of Ruin Probabilities

The Journal of Risk and Insurance, 1986
This paper gives a simple recursive method for calculating ultimate ruin probabilities. The method is especially easy to apply in practical situations of discrete claim size distributions for which a numerical illustration is given.
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Simple approximations of ruin probabilities

Insurance: Mathematics and Economics, 2000
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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The Lifetime Ruin Probability (LRP)

2020
This chapter returns to the realm of portfolio longevity and focuses on computational algorithms for success and failure rates associated with various retirement income strategies, but accounting for longevity risk. The chapter begins by defining the so-called lifetime ruin probability (LRP), which is the simplest retirement risk metric, widely used by
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Ruin probability by operational calculus

Insurance: Mathematics and Economics, 1989
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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