Results 21 to 30 of about 65,328 (289)
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 +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
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Gambler’s ruin probability—A general formula [PDF]
Statistics & Probability Letters, 2013 11 ...
openaire +3 more sources
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
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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 +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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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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Ruin probabilities in the Cram\'er-Lundberg model with temporarily negative capital
, 2019 We study the asymptotics of the ruin probability in the Cram\'er-Lundberg model with a modified notion of ruin. The modification is as follows. If the portfolio becomes negative, the asset is not immediately declared ruined but may survive due to certain
Aurzada, Frank, Buck, Micha
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Sophisticated gamblers ruin and survival chances [PDF]
, 2013 This note explores the mathematical theory to solve modern gamblers ruin problems. We establish a ruin framework and solve for the probability of bankruptcy.
Mehta, Salil
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