Convergence and asymptotic variance of bootstrapped finite-time ruin probabilities with partly shifted risk processes. [PDF]
The classical risk model is considered and a sensitivity analysis of finite-time ruin probabilities is carried out. We prove the weak convergence of a sequence of empirical finite-time ruin probabilities.
Stéphane Loisel +2 more
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The win-first probability under interest force [PDF]
In a classical risk model under constant interest force, we study the probability that the surplus of an insurance company reaches an upper barrier before a lower barrier. We define this probability as win-first probability.
Stéphane Loisel, Didier Rullière
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A numerical approach to ruin probability in finite time for fitted models with investment [PDF]
, 2012 In this paper we present a numerical method for solving a partial integro-differential equation (PIDE) associated with ruin probability, when the surplus is continuously invested in stochastic assets.
Hunting, Martin
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Extension of the Risk Model From a Hawkes Variable Memory Process via the Spearman Copula
Journal of Probability and StatisticsThe ultimate ruin probability of an insurance company throughout its operating life remains and continues to be a major and very complex concern for the latter.
Souleymane Badini +3 more
doaj +1 more source
Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities [PDF]
This paper is concerned with the compound Poisson risk model and two generalized models with still Poisson claim arrivals. One extension incorporates inhomogeneity in the premium input and in the claim arrival process, while the other takes into account ...
Stéphane Loisel, Claude Lefèvre
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Ruin probabilities in a finite-horizon risk model with investment and reinsurance [PDF]
A finite horizon insurance model is studied where the risk/reserve process can be controlled by reinsurance and investment in the financial market. Obtaining explicit optimal solutions for the minimizing ruin probability problem is a difficult task ...
Rosario Romera, Wolfgang Runggaldier
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Ruin probability in reinsurance [PDF]
, 2014 In actuarial science ruin theory uses mathematical models to describe an insurer’s vulnerability to ruin. Theoretical foundation of ruin theory describes an insurance company who experiences two opposing cash flows: incoming cash premiums and outgoing ...
Gogola Ján, Gogola, Ján
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Ruin probability via several numerical methods [PDF]
, 2018 In this thesis, ruin probabilities of insurance companies are studied. Ruin proba- bility in finite time is considered because it is more realistic compared with infinite time ruin probabilities.
Muhsin Tamturk (7759115)
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Numerical Calculation of Finite-Time Ruin Probabilities in the Dual Risk Model
RisksIn the dual risk model, while the ultimate ruin probability has an exact and straightforward formula, the mathematics becomes significantly more complex when considering a finite time horizon, and the literature on this topic is scarce.
Rui M. R. Cardoso, Andressa C. O. Melo
doaj +1 more source
The Effects of Largest Claim and Excess of Loss Reinsurance on a Company’s Ruin Time and Valuation
Risks, 2017 We compare two types of reinsurance: excess of loss (EOL) and largest claim reinsurance (LCR), each of which transfers the payment of part, or all, of one or more large claims from the primary insurance company (the cedant) to a reinsurer.
Yuguang Fan +4 more
doaj +1 more source