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A Note on the Convexity of Ruin Probabilities
SSRN Electronic Journal, 2017zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Landriault, David +4 more
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2010
The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramér-Lundberg approximation, exact solutions, other approximations (e.g., for heavy-tailed claim size distributions), finite horizon ruin probabilities, extensions of the classical compound Poisson model to ...
Asmussen, Søren, Albrecher, Hansjörg
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The book gives a comprehensive treatment of the classical and modern ruin probability theory. Some of the topics are Lundberg's inequality, the Cramér-Lundberg approximation, exact solutions, other approximations (e.g., for heavy-tailed claim size distributions), finite horizon ruin probabilities, extensions of the classical compound Poisson model to ...
Asmussen, Søren, Albrecher, Hansjörg
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Scandinavian Actuarial Journal, 1982
Abstract In this article a summing up is made of the author's papers concerning the probability of ruin in a risk business. Results as well as proofs are reviewed. In certain cases not covered in the earlier papers a more systematic treatment is given. Primarily the probability of ruin for a finite time period is dealt with.
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Abstract In this article a summing up is made of the author's papers concerning the probability of ruin in a risk business. Results as well as proofs are reviewed. In certain cases not covered in the earlier papers a more systematic treatment is given. Primarily the probability of ruin for a finite time period is dealt with.
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Maintaining cost and ruin probability
Review of Quantitative Finance and Accounting, 2021Specialized funds such as charitable trusts do not attach much value to consumption, instead, they pursue to maintain a satisfactory level of spending and avoid ruin to achieve their managerial goals. We employ an objective function tailored for studying ruin probability of a specialized fund, which implies simple analytical conditions to judge if the ...
Andreas Karathanasopoulos +3 more
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On the Probability of (Non-) Ruin in Infinite Time
Scandinavian Actuarial Journal, 2001In the context of the classical Poisson ruin model Gerber (1988a,b) and Shiu (1987, 1989) have obtained two formulae for the ruin and non ruin probabilities in infinite time. Here these two formulae are generalized to the case of an arbitrary premium process when all claims are integer-valued, as in Picard & Lefevre (1997).
Picard, P., Lefèvre, Claude
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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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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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Ruin Probability in Models with Stochastic Premiums
Moscow University Mathematics Bulletin, 2020The paper focuses on the the ruin probability of an insurance company. Some generalizations of the classical Cramér-Lundberg model are considered; in particular, either the aggregate claims process or the aggregate premium process is not Poisson -- as commonly hypothesized in literature -- but constructed using a renewal process. Within this framework,
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Mixed poisson processes and the probability of ruin
Insurance: Mathematics and Economics, 1984zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Seal, Hilary L., Gerber, Hans U.
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The stability of the probability of ruin
Stochastic Models, 2019This article provides a computational formula for the the stability of the probability of ruin of the compound Poisson risk process.
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On the Asymptotics of the Ruin Probability
Theory of Probability & Its Applications, 2015We obtain an asymptotic representation of the ruin probability for a random walk with negative drift when the upper bound of the strip tends to infinity. The result is expressed via distributions of the trajectory supremum and overshoot below negative level.
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