Results 281 to 290 of about 1,561,065 (313)

On the Asymptotics of the Ruin Probability

Theory of Probability & Its Applications, 2015
We 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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Ruin probabilities with compounding assets

Insurance: Mathematics and Economics, 1999
Abstract We consider a classical surplus process modified by the action of a constant force of interest. We derive recursive algorithms for the calculation of the probability of ruin in finite time. We also discuss the numerical evaluation of the probability of ultimate ruin using methods proposed by De Vylder [De Vylder, F., 1996.
Howard R. Waters, David C. M. Dickson
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An insensitivity property of the ruin probability

Scandinavian Actuarial Journal, 1985
Abstract We give an expression for Ψ(0), i.e., the ruin probability for an insurance business with no initial risk reserve, when the location of the claims is described by a general stationary point process.
Tomas Björk, Jan Grandell
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Bounds for classical ruin probabilities

Insurance: Mathematics and Economics, 1984
Abstract We derive upper and lower bounds for the ruin probability over infinite time in the classical actuarial risk model (usual independence and equidistribution assumptions; the claim-number process is Poisson). Our starting point is the renewal equation for the ruin probability, but no renewal theory is used, except for the elementary facts ...
F Devylder, Marc Goovaerts
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Nonparametric estimators for the probability of ruin

Insurance: Mathematics and Economics, 1990
Abstract In this note we show how the general theory for linear combinations of U -statistics with varying kernel can be applied to discuss estimators for the infinite horizon time probability of ruin in the Poisson risk model.
Kristof Croux, Noel Veraverbeke
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Ruin probabilities for competing claim processes

Journal of Applied Probability, 2004
Let C 1, C 2,…,C m be independent subordinators with finite expectations and denote their sum by C. Consider the classical risk process X(t) = x + ct - C(t). The ruin probability is given by the well-known Pollaczek–Khinchin formula.
Miljenko Huzak, Hrvoje Šikić, Mihael Perman, Zoran Vondraček   +3 more
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Ruin Probability for Finite Erlang Mixture Claims Via Recurrence Sequences

Methodology and Computing in Applied Probability, 2021
Luis Rincón, David J. Santana
semanticscholar   +1 more source

Evaluating Ruin Probabilities: A Streamlined Approach

2021
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. The numerical experiments show that the procedure we are proposing
Paolo De Angelis, Roberto De Marchis, Mario Marino, Antonio Luciano Martire, Immacolata Oliva   +4 more
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On One Estimate of the Ruin Probability

Theory of Probability & Its Applications, 2008
The paper deduces the inequality for the ruin probability from a Laplace formula for a player versus an infinitely rich opponent.
V. Ya. Kondratiev, G. P. Ivanova
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Simple approximations of ruin probabilities [PDF]

Insurance: Mathematics and Economics, 2000
A "simple approximation" of a ruin probability is an approximation using only some moments of the claim distribution and not the detailed tail behaviour of that distribution.
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