Results 21 to 30 of about 1,148,028 (254)

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
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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
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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
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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

Simulation of Ruin Probabilities for Subexponential Claims [PDF]

ASTIN Bulletin, 1997
AbstractWe consider the classical risk model with subexponential claim size distribution. Three methods are presented to simulate the probability of ultimate ruin and we investigate their asymptotic efficiency. One, based upon a conditional Monte Carlo idea involving the order statistics, is shown to be asymptotically efficient in a certain sense.
Asmussen, Søren, Binswanger, K.
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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
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Second order corrections for the limits of normalized ruin times in the presence of heavy tails

Stochastic Systems, 2014
In this paper we consider a compound Poisson risk model with regularly varying claim sizes. For this model in [4] an asymptotic formula for the finite time ruin probability is provided when the time is scaled by the mean excess function. In this paper
Dominik Kortschak, Søren Asmussen
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Exemplification of Ruin Probabilities [PDF]

ASTIN Bulletin, 1971
The following numerical values of ruin probabilities, Ψ(u, T) for finite times T, have been calculated by the method proposed in “Analytical steps towards a numerical calculation of the ruin probability for a finite period when the risk process is of the Poisson type or of the more general type studied by Sparre Andersen”, presented to this colloquium ...
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Applications of a change of measures technique for compound mixed renewal processes to the ruin problem

Modern Stochastics: Theory and Applications, 2021
In the present paper the change of measures technique for compound mixed renewal processes, developed in Tzaninis and Macheras [ArXiv:2007.05289 (2020) 1–25], is applied to the ruin problem in order to obtain an explicit formula for the probability of ...
Spyridon M. Tzaninis
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On Minimizing the Ultimate Ruin Probability of an Insurer by Reinsurance [PDF]

Journal of Applied Mathematics, 2018
We consider an insurance company whose reserves dynamics follow a diffusion-perturbed risk model. To reduce its risk, the company chooses to reinsure using proportional or excess-of-loss reinsurance. Using the Hamilton-Jacobi-Bellman (HJB) approach, we derive a second-order Volterra integrodifferential equation (VIDE) which we transform into a linear ...
Christian Kasumo, Juma Kasozi, Dmitry Kuznetsov   +2 more
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