On Finite-Time Ruin Probabilities for Classical Risk Models [PDF]
This paper is concerned with the problem of ruin in the classical compound binomial and compound Poisson risk models. Our primary purpose is to extend to those models an exact formula derived by Picard and Lefèvre (1997) for the probability of (non-)ruin
Stéphane Loisel, Claude Lefèvre
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Estimates for the absolute ruin probability in the compound Poisson risk model with credit and debit interest [PDF]
, 2008 In this paper we consider a compound Poisson risk model where the insurer earns credit interest at a constant rate if the surplus is positive and pays out debit interest at another constant rate if the surplus is negative.
Jinxia Zhu +3 more
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Ruin probability analysis in geometric inhomogeneous claims case
Lietuvos Matematikos Rinkinys, 2011 The discrete time risk model with inhomogeneous claims is analyzed. The finite time ruin probability expression is obtained for the case when claims are distributed by geometric distribution with changing parameters.
Eugenija Bieliauskienė
doaj +1 more source
Security Evaluation of Financial and Insurance and Ruin Probability Analysis Integrating Deep Learning Models. [PDF]
Comput Intell Neurosci, 2022 Yang Y.
europepmc +1 more source
On computing ruin probabilities
, 2017 The objective of this thesis is to develop for an effective numerical scheme to calculate the finite-time ruin probabilities (equivalently the finite-time survival probabilities) under classical risk model. Ruin theory of this model has been widely studied in literatures especially those related to ruin probabilities.
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Inequalities for the ruin probability in a controlled discrete-time risk process [PDF]
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.
Maikol Diasparra, Rosario Romera
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Existence of a classical solution of a parabolic PIDE associated with ruin probability [PDF]
, 2012 In this article we will prove existence of a classical solution of the integro-differential equation for ruin probability in finite time stated in Paulsen (2008)
Hunting, Martin
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Ruin probability in the three-seasonal discrete-time risk model
Modern Stochastics: Theory and Applications, 2015 This paper deals with the discrete-time risk model with nonidentically distributed claims. We suppose that the claims repeat with time periods of three units, that is, claim distributions coincide at times $\{1,4,7,\dots \}$, at times $\{2,5,8,\dots \}$,
Andrius Grigutis +2 more
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Robustness analysis and convergence of empirical finite-time ruin probabilities and estimation risk solvency margin. [PDF]
We consider the classical risk model and carry out a sensitivity and robustness analysis of finite-time ruin probabilities. We provide algorithms to compute the related influence functions.
Stéphane Loisel +2 more
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Ruin probability for Gaussian integrated processes
Stochastic Processes and their Applications, 2002 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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