Practical approaches to the estimation of the ruin probability in a risk model with additional funds
Modern Stochastics: Theory and Applications, 2015 We deal with a generalization of the classical risk model when an insurance company gets additional funds whenever a claim arrives and consider some practical approaches to the estimation of the ruin probability.
Yuliya Mishura +2 more
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Fourier-cosine method for ruin probabilities
Journal of Computational and Applied Mathematics, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kwok-Wing Chau +2 more
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Some continuity estimates for ruin probability and other ruin-related quantities
Modern Stochastics: Theory and ApplicationsIn this paper we investigate continuity properties for ruin probability in the classical risk model. Properties of contractive integral operators are used to derive continuity estimates for the deficit at ruin.
Lazaros Kanellopoulos
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Discrete-Time Risk Models with Claim Correlated Premiums in a Markovian Environment
Risks, 2021 In this paper we consider a discrete-time risk model, which allows the premium to be adjusted according to claims experience. This model is inspired by the well-known bonus-malus system in the non-life insurance industry.
Dhiti Osatakul, Xueyuan Wu
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Ruin probability under compound Poisson models with random discount factor [PDF]
, 2004 In this article, we consider a compound Poisson insurance risk model with a random discount factor. This model is also known as the compound filtered Poisson model.
Ng, KW, Zhang, L, Yang, H
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Finite time Parisian ruin of an integrated Gaussian risk model [PDF]
, 2017 In this paper we investigate the finite time Parisian ruin probability for an integrated Gaussian risk process. Under certain assumptions, we find that the Parisian ruin probability and the classical ruin probability are on the log-scale asymptotically ...
Peng, X., Luo, L.
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Some optimization and decision problems in proportional reinsurance
Rect@, 2016 Reinsurance is one of the tools that an insurer can use to mitigate the underwriting risk and then to control its solvency. In this paper, we focus on the proportional reinsurance arrangements and we examine several optimization and decision problems of ...
Castañer, Anna +2 more
doaj
Bounds for the Ruin Probability in the Sparre–Andersen Model
RisksWe obtain the upper and lower bounds for the ruin probability in the Sparre–Andersen model. These bounds are established under various conditions: when the adjustment coefficient exists, when it does not exist, and when the interarrival distribution ...
Sotirios Losidis, Vaios Dermitzakis
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A Bootstrap Test for the Probability of Ruin in the Compound Poisson Risk Process [PDF]
, 2010 In this article we propose a bootstrap test for the probability of ruin in the compound Poisson risk process. We adopt the P-value approach, which leads to a more complete assessment of the underlying risk than the probability of ruin alone.
Gatto, Riccardo +3 more
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On a conjecture related to the ruin probability for nonhomogeneous insurance claims
Analele Stiintifice ale Universitatii Ovidius Constanta: Seria Matematica, 2015 Recently, nonhomogeneous claim sizes have been considered in the actuarial literature starting from the fact that the claims are seasonally influenced by the economic environment. In this context, Raducan et al.
Vernic Raluca
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