Results 21 to 30 of about 66,591 (332)

RUIN PROBABILITY IN THE CLASSICAL RISK PROCESS WITH WEIBULL CLAIMS DISTRIBUTION

Barekeng, 2023
In the classical risk process, ruin is the situation when the surplus falls below zero. Ruin probability is a tool used to predict bankruptcy in the insurance company.
Dadang Amir Hamzah, Theresia Stefany Anawa Siahaan, Vania Chrestella Pranata   +2 more
doaj   +1 more source

Infinite time ruin probability in inhomogeneous claims case

Lietuvos Matematikos Rinkinys, 2010
The article deals with the classical discrete-time risk model with non-identically distributed claims. The recursive formula of infinite time ruin probability is obtained, which enables to evaluate the probability to ruin with desired accuracy.
Eugenija Bieliauskienė, Jonas Šiaulys   +1 more
doaj   +1 more source

Calculating Ruin Probabilities via Product Integration [PDF]

ASTIN Bulletin, 1997
AbstractWhen claims in the compound Poisson risk model are from a heavy-tailed distribution (such as the Pareto or the lognormal), traditional techniques used to compute the probability of ultimate ruin converge slowly to desired probabilities. Thus, faster and more accurate methods are needed.
Colin M. Ramsay, Miguel Arturo Usábel Rodrigo   +1 more
openaire   +4 more sources

Numerical Ruin Probability in the Dual Risk Model with Risk-Free Investments

Risks, 2018
In this paper, a dual risk model under constant force of interest is considered. The ruin probability in this model is shown to satisfy an integro-differential equation, which can then be written as an integral equation. Using the collocation method, the
Sooie-Hoe Loke, Enrique Thomann
doaj   +1 more source

An analysis of the classical gambler's ruin problem through multiple devices variation

Journal of Taibah University for Science, 2022
In this study, we propose a variant of classic 2-player ruin's problem. We advocate the use of simultaneous operation of multiple devices to conclude upon the game.
Abid Hussain, Salman A. Cheema, Muhammad Hanif   +2 more
doaj   +1 more source

Approximations of the ruin probability in a discrete time risk model

Modern Stochastics: Theory and Applications, 2020
Based on a discrete version of the Pollaczeck–Khinchine formula, a general method to calculate the ultimate ruin probability in the Gerber–Dickson risk model is provided when claims follow a negative binomial mixture distribution.
David J. Santana, Luis Rincón
doaj   +1 more source

Gerber-Shiu Metrics for a Bivariate Perturbed Risk Process

Risks, 2023
We consider a two-dimensional risk model with simultaneous Poisson arrivals of claims. Each claim of the first input process is at least as large as the corresponding claim of the second input process.
Onno Boxma, Fabian Hinze, Michel Mandjes
doaj   +1 more source

On the time spent in the red by a refracted L\'evy risk process [PDF]

, 2013
In this paper, we introduce an insurance ruin model with adaptive premium rate, thereafter refered to as restructuring/refraction, in which classical ruin and bankruptcy are distinguished.
Renaud, Jean-François
core   +2 more sources

Gambler’s ruin probability—A general formula [PDF]

Statistics & Probability Letters, 2013
11 ...
openaire   +3 more sources

The probability of non-ruin of an insurance company with advertising expenses and investing in bank term deposit by MHull insurance of 10 Top insurance companies of Ukraine.

Науковий вісник Ужгородського університету. Серія: Математика і інформатика, 2018
The result presented in this paper is the second part of the paper {BoldyrevaZhmykhova2016}, where was constructed an equation which allows calculating the probability of non-ruin for the classical model of risk when an insurance company has promotional ...
В. О. Болдирєва, Т. В. Жмихова   +1 more
doaj   +1 more source