Results 21 to 30 of about 3,997 (215)
Gambler’s ruin probability—A general formula [PDF]
Statistics & Probability Letters, 2013 11 ...
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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 +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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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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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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Ruin probabilities in a Markovian shot-noise environment
Journal of Applied Probability, 2022 AbstractWe consider a risk model with a counting process whose intensity is a Markovian shot-noise process, to resolve one of the disadvantages of the Cramér–Lundberg model, namely the constant intensity of the Poisson process. Due to this structure, we can apply the theory of piecewise deterministic Markov processes on a multivariate process ...
Simon Pojer, Stefan Thonhauser
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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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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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