Results 41 to 50 of about 1,561,065 (313)
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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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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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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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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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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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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Minimizing the Discounted Probability of Exponential Parisian Ruin via Reinsurance [PDF]
SIAM Journal of Control and Optimization, 2020 We study the problem of minimizing the discounted probability of exponential Parisian ruin, that is, the discounted probability that an insurer's surplus exhibits an excursion below zero in excess of an exponentially distributed clock.
Xiaoqing Liang, V. Young
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On the Probability and the Time of Insurance Ruin [PDF]
Missouri Journal of Mathematical Sciences, 2008 The estimation of ruin probability has been the central topic in insurance risk theory. In this paper we study the asymptotic behavior of the probability of ruin and the probability that ruin occurs before the end of planning years in the compound Poisson model.
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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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Ruin problems for a discrete time risk model with random interest rate [PDF]
, 2006 In this paper, we study a discrete time risk model with random interest rate. The convergence of the discounted surplus process is proved by using martingale techniques, an expression of ruin probability is obtained, and bounds for ruin probability are ...
Yang, H, Zhang, L
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