Results 51 to 60 of about 3,997 (215)
On the time value of ruin in the discrete time risk model [PDF]
, 2002 Using an approach similar to that of Gerber and Shiu (1998), a recursive formula is given for the expected discounted penalty due at ruin, in the discrete time risk model. With it the joint distribution of three random variables is obtained; time to ruin,
Garrido, José, Li, Shuanming
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Saddlepoint Approximations to the Probability of Ruin in Finite Time for the Compound Poisson Risk Process Perturbed by Diffusion [PDF]
, 2016 A large deviations type approximation to the probability of ruin within a finite time for the compound Poisson risk process perturbed by diffusion is derived.
Gatto, Riccardo, Baumgartner, Benjamin
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Minimizing the ruin probability through capital injections [PDF]
, 2011 We consider an insurer who has a fixed amount of funds allocated as the initial surplus for a risk portfolio, so that the probability of ultimate ruin for this portfolio is at a known level. We consider the question of whether the insurer can reduce this
David C. M. Dickson +2 more
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Operations Research and Decisions, 2015 The paper focuses on a quantitative analysis of the probability of ruin in a finite time for a discrete risk process with proportional reinsurance and investment of the financial surplus.
Helena Jasiulewicz, Wojciech Kordecki
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Inequalities for the ruin probability in a controlled discrete-time risk process [PDF]
, 2009 Ruin probabilities in a controlled discrete-time risk process with a Markov chain interest are studied. To reduce the risk there is a possibility to reinsure a part or the whole reserve. Recursive and integral equations for ruin probabilities are given.
Romera, Rosario, Diasparra, Maikol
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Statistica, 2007 In the present note we consider the classical continuous time model of the collective theory of risk under the assumption that the claimsize distribution is DFR (decreasing failure rate) so that, according to well known queueing results, the ultimate ...
Luca Barzanti, Corrado Corradi
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Dependent discrete risk processes –calculation of the probability of ruin [PDF]
This paper is devoted to discrete processes of dependent risks. The random variables describing the time between claims can be dependent in such processes, unlike under the classical approach.
Stanislaw Heilpern
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Martingale method for ruin probability in an autoregressive model with constant interest rate [PDF]
, 2003 In this article, we consider a discrete-time insurance risk model. An autoregressive model is used to model both the claim process and the premium process. The probability of ruin is examined in a model with a constant interest rate. Both exponential and
Yang, HL, Zhang, LH, Zhang, L, Yang, H
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Statistical analysis of mixtures underlying probability of ruin
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2009 If the hypothesis on exponentially distributed claims in a risk (or surplus) model is untenable then, in many cases, the assumption that they are mixtures of two (or more) exponentials is a suitable substitute.
Rastislav Potocký, Milan Stehlík
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A new De Vylder type approximation of the ruin probability in infinite time [PDF]
In this paper we introduce a generalization of the De Vylder approximation. Our idea is to approximate the ruin probability with the one for a different process with gamma claims, matching first four moments.
Aleksander Weron +2 more
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