Results 61 to 70 of about 3,997 (215)

A logarithmic efficient estimator of the probability of ruin with recuperation for spectrally negative Lévy risk processes [PDF]

, 2015
This article provides an importance sampling algorithm for computing the probability of ruin with recuperation of a spectrally negative Lévy risk process with light-tailed downwards jumps.
Gatto, Riccardo
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Calculating multivariate ruin probabilities via Gaver–Stehfest inversion technique. [PDF]

Multivariate characteristics of risk processes are of high interest to academic actuaries. In such models, the probability of ruin is obtained not only by considering initial reserves u but also the severity of ruin y and the surplus before ruin x.
Usábel, Miguel A.
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Optimal policies for discrete time risk processes with a Markov chain investment model [PDF]

, 2006
We consider a discrete risk process modelled by a Markov Decision Process. The surplus could be invested in stock market assets. We adopt a realistic point of view and we let the investment return process to be statistically dependent over time.
Romera, Rosario, Diasparra, Maikol
core  

PRECISE ESTIMATES OF RUIN PROBABILITIES

Quantitative Methods in Economics, 2015
In this paper we investigate a sequence of accurate approximations of ruin probabilities in discrete time models. We prove its convergence to the exact ruin probability without any restrictive assumptions on the claim distribution. Numerical studies show
Marcin Rudź
doaj  

The ruin probability in a special case [PDF]

ASTIN Bulletin, 1971
It is fantastic how the computer has changed our attitude to numerical problems. In the old days when our numerical tools were paper, pencil, desk calculator and logarithm tables we had to stay away from formulas and methods which led to too lengthy calculations.
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General Bounds on Ruin Probabilities [PDF]

, 1986
In this contribution we consider general bounds ruin probabilities when the claim severity distribution is not exponentially bounded, but in case the moments of the distribution up to a certain order, say r, exist.
R. Kaas, M. Goovaerts, R. Ridder
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Finite time ruin probabilities with one Laplace inversion. [PDF]

In this work we present an explicit formula for the Laplace transform in time of the finite time ruin probabilities of a classical Levy model with phase-type claims. Our result generalizes the ultimate ruin probability formula of Asmussen and Rolski [IME
Avram, Florin, Usábel, Miguel A.
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Ruin probability for heterogeneous loans [PDF]

, 2020
: This study examines the impact of losses and defaults using ruin theory and uses a heterogeneous portfolio of loans extending specifically to banking institutions.
Mashimbye, Felicia
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The Compound Binomial Risk Model with Randomly Charging Premiums and Paying Dividends to Shareholders

Journal of Applied Mathematics, 2013
Based on characteristics of the nonlife joint-stock insurance company, this paper presents a compound binomial risk model that randomizes the premium income on unit time and sets the threshold for paying dividends to shareholders.
Xiong Wang, Lei He
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Parisian ruin probability for Markov additive risk processes

Advances in Difference Equations, 2018
In this paper, we consider a spectrally negative Markov additive risk process. Using the theory of Jordan chain, a compact formula of Parisian ruin probability is given.
Xianghua Zhao, Hua Dong
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