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Simulation of ruin probabilities
Insurance: Mathematics and Economics, 1990The classical model of risk theory with homogeneous Poisson claim number process is considered. Then a direct simulation of the probability of ruin can be difficult and unstable for certain parameters and claim size distributions. Therefore the authors propose to use a martingale transform of the given process first, then perform the simulation for the
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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Classical numerical ruin probabilities
Scandinavian Actuarial Journal, 1996Abstract Finite and infinite-time classical ruin probabilities can be approximated in Gerber's elementary binomial risk model. In order to obtain good results, rather fine discretizations may be necessary and then the computing times may be much too long.
F. De Vylder, E. Marceau
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Generalized Life Insurance: Ruin Probabilities
Scandinavian Actuarial Journal, 2003We study ruin probabilities for generalized life insurance programs. These programs include among others whole life and long term care contracts. Clearly, in such programs the claims in successive years are dependent, hence the structure of our problem is different from that of ruin probabilities in general insurance where claims over time are ...
E. Frostig, E. Frostig, E. Frostig
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Ruin probability via Quantum Mechanics Approach
Insurance: Mathematics and Economics, 2018zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Tamturk, Muhsin, Utev, Sergey
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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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Ruin probabilities with compounding assets
Insurance: Mathematics and Economics, 1999zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Dickson, David C. M., Waters, Howard R.
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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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Bounds for classical ruin probabilities
Insurance: Mathematics and Economics, 1984This 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, 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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