Results 1 to 10 of about 171,937 (326)
On the Devylder–Goovaerts Conjecture in Ruin Theory [PDF]
Mathematics, 2023 The Devylder–Goovaerts conjecture is probably the oldest conjecture in actuarial mathematics and has received a lot of attention in recent years.
Stéphane Loisel, Charles Minier
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Some stable algorithms in ruin theory and their applications [PDF]
Insurance: Mathematics and Economics, 1995 AbstractIn this paper we present a stable recursive algorithm for the calculation of the probability of ultimate ruin in the classical risk model. We also present stable recursive algorithms for the calculation of the joint and marginal distributions of the surplus prior to ruin and the severity of ruin.
Dickson, David C. M. +2 more
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Research on a Model for an Empirical Analysis of Inherent Defect Insurance Based on Ruin Theory [PDF]
Discrete Dynamics in Nature and Society, 2023 The system of inherent defect insurance is an important measure to serve the real economy through financial means and improve the quality of construction projects, which is the future development direction of China’s construction industry.
Xikang Yan +7 more
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Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances [PDF]
Dependence Modeling, 2016 The purpose of this paper is twofold. First we consider a ruin theory approach along with risk measures in order to determine the solvency capital of long-term guarantees such as life insurances or pension products.
Devolder Pierre, Lebègue Adrien
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Convexity of Ruin Probability and Optimal Dividend Strategies for a General Lévy Process [PDF]
The Scientific World Journal, 2015 We consider the optimal dividends problem for a company whose cash reserves follow a general Lévy process with certain positive jumps and arbitrary negative jumps.
Chuancun Yin, Kam Chuen Yuen, Ying Shen
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Revstat Statistical Journal, 2020 This paper aims to analyze unstructured data using a text mining approach. The work was motivated in order to organize and structure research in Risk Theory.
Renata G. Alcoforado +1 more
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Distribution of shifted discrete random walk generated by distinct random variables and applications in ruin theory [PDF]
Modern Stochastics: Theory and ApplicationsIn this paper, the distribution function \[ \varphi (u)=\mathbb{P}\Bigg(\underset{n\geqslant 1}{\sup }{\sum \limits_{i=1}^{n}}({X_{i}}-\kappa )\lt u\Bigg),\] and the generating function of $\varphi (u+1)$ are set up.
Simonas Gervė, Andrius Grigutis
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A Risk Model with an Observer in a Markov Environment [PDF]
Risks, 2013 We consider a spectrally-negative Markov additive process as a model of a risk process in a random environment. Following recent interest in alternative ruin concepts, we assume that ruin occurs when an independent Poissonian observer sees the process as
Hansjörg Albrecher, Jevgenijs Ivanovs
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On the Ruin Problem of Collective Risk Theory [PDF]
The Annals of Mathematical Statistics, 1961 0. Summary. The theory of collective risk deals with an insurance business, for which, during a time interval (0, t) (1) the total claim X(t) has a compound Poisson distribution, and (2) the gross risk premium received is Xt. The risk reserve Z(t) = u + Xt - X(t), with the initial value Z(O) = u, is a temporally homogeneous Markov process.
N. U. Prabhu
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Some optimization and decision problems in proportional reinsurance [PDF]
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
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