Results 31 to 40 of about 3,997 (215)
Optimization method of ballistic blast fragmentation warhead striking aircraft in aircraft shelter
Xibei Gongye Daxue Xuebao, 2023 For evaluating the economy and feasibility about blast fragmentation warhead striking aircraft in aircraft shelter, taking a typical aircraft and single/double aircraft shelter as study objects, based on the thought of simple/quadratic surface fitting ...
YANG Jie +5 more
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Minimizing the Probability of Lifetime Exponential Parisian Ruin [PDF]
Journal of Optimization Theory and Applications, 2019 We find the optimal investment strategy in a Black-Scholes market to minimize the probability of so-called {\it lifetime exponential Parisian ruin}, that is, the probability that wealth exhibits an excursion below zero of an exponentially distributed time before the individual dies.
Xiaoqing Liang, Virginia R. Young
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Ruin Probability Approximations in Sparre Andersen Models with Completely Monotone Claims
Risks, 2019 We consider the Sparre Andersen risk process with interclaim times that belong to the class of distributions with rational Laplace transform. We construct error bounds for the ruin probability based on the Pollaczek−Khintchine formula, and develop ...
Hansjörg Albrecher, Eleni Vatamidou
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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 +2 more
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Ruin probabilities for a perturbed risk model with stochastic premiums and constant interest force
Journal of Inequalities and Applications, 2016 In this paper, we consider a perturbed compound Poisson risk model with stochastic premiums and constant interest force. We obtain the upper bound and Lundberg-Cramér approximation for the infinite-time ruin probability, and consider the asymptotic ...
Jianhua Cheng, Yanwei Gao, Dehui Wang
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Modern Stochastics: Theory and Applications, 2020 We deal with a generalization of the risk model with stochastic premiums where dividends are paid according to a constant dividend strategy and consider heuristic approximations for the ruin probability.
Olena Ragulina
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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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Ruin probabilities for the perturbed compound Poisson risk process with investment [PDF]
, 2011 In this article, we consider the perturbed compound Poisson risk process with investment incomes. The risk reserve process is perturbed by an independent Brownian motion and the surplus is invested at a constant force of interest.
Ng, KW +5 more
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Ruin Probability in Compound Poisson Process with Investment
Journal of Applied Mathematics, 2012 We consider that the surplus of an insurer follows compound Poisson process and the insurer would invest its surplus in risky assets, whose prices satisfy the Black-Scholes model. In the risk process, we decompose the ruin probability into the sum of two
Yong Wu, Xiang Hu
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Mathematics, 2021 In this paper, a nonparametric estimator of ruin probability is introduced in a spectrally negative Lévy process where the jump component is a tempered α-stable subordinator.
Yuan Gao, Honglong You
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