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Evaluating ruin probabilities: a streamlined approach
2021Summary: This paper deals with the ruin probability evaluation in a classical risk theory model, under different hypotheses about claims distribution. Our approach is totally innovative, and is based on the application of the mean-value theorem to solve the associated Volterra integral equation.
Paolo De Angelis +4 more
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Extremal Subexponentiality in Ruin Probabilities
Communications in Statistics - Theory and Methods, 2011In 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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Direct Calculation of Ruin Probabilities
The Journal of Risk and Insurance, 1986This 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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Simple approximations of ruin probabilities
Insurance: Mathematics and Economics, 2000zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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The Lifetime Ruin Probability (LRP)
2020This chapter returns to the realm of portfolio longevity and focuses on computational algorithms for success and failure rates associated with various retirement income strategies, but accounting for longevity risk. The chapter begins by defining the so-called lifetime ruin probability (LRP), which is the simplest retirement risk metric, widely used by
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Ruin probability by operational calculus
Insurance: Mathematics and Economics, 1989zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Scale Functions and Ruin Probabilities
2013The 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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