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Simulation of ruin probabilities
Insurance: Mathematics and Economics, 1990Abstract In this paper we describe the simulation of ruin probabilities using a new simulation technique based on a martingale transformation.
De Waegenaere , A.M.B., Boogaert, P.
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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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Minimizing the probability of absolute ruin under the mean‐variance premium principle
Optimal control applications & methods, 2021In this article, we assume that the insurer can purchase per‐loss reinsurance and invest its surplus in a financial market consisting of a risk‐free asset and a risky asset.
Xiaoru Han, Zhibin Liang, K. Yuen
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A Note on the Convexity of Ruin Probabilities
SSRN Electronic Journal, 2017Abstract Conditions for the convexity of compound geometric tails and compound geometric convolution tails are established. The results are then applied to analyze the convexity of the ruin probability and the Laplace transform of the time to ruin in the classical compound Poisson risk model with and without diffusion.
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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Estimation of ruin probabilities
Insurance: Mathematics and Economics, 1977Consider 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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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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, 2019
This paper considers a generalized bidimensional continuous-time risk model with heavy-tailed claims and Brownian perturbations. In this model, the claim sizes from different lines of business are tail asymptotically independent, while the claim-number ...
Dongya Cheng
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This paper considers a generalized bidimensional continuous-time risk model with heavy-tailed claims and Brownian perturbations. In this model, the claim sizes from different lines of business are tail asymptotically independent, while the claim-number ...
Dongya Cheng
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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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