Results 291 to 300 of about 1,561,065 (313)

Inference for Ruin Probability

Asymptotic Statistics in Insurance Risk Theory, 2021
Y. Shimizu
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A class of approximations of ruin probabilities

Scandinavian Actuarial Journal, 1977
Abstract We shall in this paper consider approximation of a risk reserve process by a Wiener process. Our main mathematical tool is the theory of weak convergence of probability measures on metric spaces. Today Billingsley (1968) is the standard reference for that theory.
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A Functional Approach for Ruin Probabilities

Stochastic Models, 2006
In the classical risk model with Poisson arrivals, we study a functional approach which can be used to obtain new approximation formulae for the probability of ultimate ruin. In particular, we consider a map Φ between appropriate function spaces with Φ(f) = ψ, where f denotes the density of claim sizes in the model and ψ is the function that gives the ...
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Interval estimation of the ruin probability in the classical compound Poisson risk model

Computational Statistics & Data Analysis, 2020
Honglong You, Junyi Guo, Jiancheng Jiang
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Direct Calculation of Ruin Probabilities

The Journal of Risk and Insurance, 1986
This paper gives a simple recursive method for calculating ultimate ruin probabilities. The method is especially easy to apply in practical situations of discrete claim size distributions for which a numerical illustration is given.
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A note on the uniform asymptotic behavior of the finite-time ruin probability in a nonstandard renewal risk model

, 2020
Yuquan Cang, Yang Yang, Xixi Shi
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Extremal Subexponentiality in Ruin Probabilities

Communications in Statistics - Theory and Methods, 2011
In this article, we consider risk models with a heavy-tailed parametric claim distribution from the subexponential class 𝒮 with at least two parameters. We choose the proper convergence of a parameter, such that the tail of the claims distribution becomes heavier, and then we study the limit behavior of the ruin probability.
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Scale Functions and Ruin Probabilities

2013
The two main results from the previous chapters concerning the law of the maximum and minimum of the Cramer–Lundberg process can now be put to use in order to establish our first results concerning the classical ruin problem. We introduce the so-called scale functions, which will prove to be indispensable, both in this chapter and later, when ...
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Ruin Probabilities

Journal of the American Statistical Association, 2002
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The finite-time ruin probability of a risk model with stochastic return and Brownian perturbation

Japan journal of industrial and applied mathematics, 2018
Kaiyong Wang, Lamei Chen, Yang Yang, Miaomiao Gao   +3 more
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