Results 21 to 30 of about 1,561,065 (313)
Ruin Probability for Stochastic Flows of Financial Contract under Phase-Type Distribution
Risks, 2020 This paper examines the impact of the parameters of the distribution of the time at which a bank’s client defaults on their obligated payments, on the Lundberg adjustment coefficient, the upper and lower bounds of the ruin probability.
Franck Adékambi, Kokou Essiomle
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Ruin probabilities in a diffusion environment [PDF]
Journal of Applied Probability, 2011 We consider an insurance model, where the underlying point process is a Cox process. Using a martingale approach applied to diffusion processes, finite-time Lundberg inequalities are obtained. By change-of-measure techniques, Cramér–Lundberg approximations are derived.
Grandell, Jan, Schmidli, Hanspeter
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Ruin Probability for the Insurer–Reinsurer Model for Exponential Claims: A Probabilistic Approach
Risks, 2021 In this paper, we consider a two-dimensional risk process in which the companies split each claim and premium in a fixed proportion. It serves as a classical framework of a quota-share reinsurance contract for a given business line.
Krzysztof Burnecki +2 more
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Advanced Materials Interfaces, EarlyView., 2023 This review discusses the use of Surface‐Enhanced Raman Spectroscopy (SERS) combined with Artificial Intelligence (AI) for detecting antimicrobial resistance (AMR). Various SERS studies used with AI techniques, including machine learning and deep learning, are analyzed for their advantages and limitations.
Zakarya Al‐Shaebi +4 more
wiley +1 more source
Ruin probability in the presence of risky investments [PDF]
Stochastic Processes and their Applications, 2006 We consider an insurance company in the case when the premium rate is a bounded non-negative random function $c_\zs{t}$ and the capital of the insurance company is invested in a risky asset whose price follows a geometric Brownian motion with mean return $a$ and volatility $ >0$.
Serguei Pergamenchtchikov, Zeitouny Omar
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Ruin probability in finite time [PDF]
, 2011 In examining the nature of the risk associated with a portfolio of business, it is often of interest to assess how the portfolio may be expected to perform over an extended period of time. One approach involves the use of ruin theory (Panjer and Willmot, 1992).
Krzysztof Burnecki, Marek Teuerle
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Fourier/Laplace Transforms and Ruin Probabilities [PDF]
ASTIN Bulletin, 2002 AbstractIn this paper we use Fourier/Laplace transforms to evaluate numerically relevant probabilities in ruin theory as an application to insurance. The transform of a function is split in two: the real and the imaginary parts. We use an inversion formula based on the real part only, to get the original function.By using an appropriate algorithm to ...
Lima, Fátima D. E. +2 more
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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 +1 more
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On the accuracy of phase-type approximations of heavy-tailed risk models [PDF]
, 2012 Numerical evaluation of ruin probabilities in the classical risk model is an important problem. If claim sizes are heavy-tailed, then such evaluations are challenging.
Adan, Ivo J. B. F. +3 more
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, 2020 In this paper, we consider a time-dependent risk model with a Brownian perturbation. In this model, there is a dependence structure between the claim sizes and their corresponding interarrival times.
Kaiyong Wang, Y. Cui, Yanzhu Mao
semanticscholar +1 more source