Determining Safe Withdrawal Rates for Post-Retirement via a Ruin-Theory Approach [PDF]
RisksTo ensure a comfortable post-retirement life and the ability to cover living expenses, it is of utmost importance for individuals to have a clear understanding of how long their pre-retirement savings will last.
Diba Daraei, Kristina Sendova
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Gerber–Shiu distribution at Parisian ruin for Lévy insurance risk processes [PDF]
Journal of Applied Probability, 2016 Inspired by works of Landriault et al. [11, 12], we study the Gerber{Shiu distribution at Parisian ruin with exponential implementation delays for a spectrally negative Levy insurance risk process.
Baurdoux, Erik J. +3 more
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Regulation and Ruin Theory:Controlling the Probability of Failure [PDF]
, 2007 The standard theoretical approach underlying insurance regulation originates in actuarial methods and, more specifically, in ruin theory. It’s important to outline this theory, and then to discuss its limits, because it’s the one that most insurance practitioners or regulators have in mind when thinking about insurance regulation, partly, of course ...
Plantin, Guillaume, Rochet, Jean-Charles
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Fractional Poisson Process: Long-Range Dependence and Applications in Ruin Theory [PDF]
Journal of Applied Probability, 2014 Romain Biard, Bruno Saussereau
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Modelling forest ruin due to climate hazards [PDF]
Earth System Dynamics, 2021 Estimating the risk of forest collapse due to extreme climate events is one of the challenges of adapting to climate change. We adapt a concept from ruin theory, which is widely used in econometrics and the insurance industry, to design a growth–ruin ...
P. Yiou, N. Viovy
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Ruin Theory for Energy-Efficient Resource Allocation in UAV-Assisted Cellular Networks [PDF]
IEEE Transactions on Communications, 2021 Aunas Manzoor +6 more
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Finite-Time Ruin Probabilities of Bidimensional Risk Models with Correlated Brownian Motions
Mathematics, 2023 The present work concerns the finite-time ruin probabilities for several bidimensional risk models with constant interest force and correlated Brownian motions. Under the condition that the two Brownian motions {B1(t),t≥0} and {B2(t),t≥0} are correlated,
Dan Zhu, Ming Zhou, Chuancun Yin
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Ruin probabilities as functions of the roots of a polynomial
Modern Stochastics: Theory and Applications, 2023 A new formula for the ultimate ruin probability in the Cramér–Lundberg risk process is provided when the claims are assumed to follow a finite mixture of m Erlang distributions.
David J. Santana, Luis Rincón
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Ruin probability for renewal risk models with neutral net profit condition
Nonlinear Analysis, 2023 In ruin theory, the net profit condition intuitively means that the sizes of the incurred random claims are on average less than the premiums gained between the successive interoccurrence times.
Andrius Grigutis +2 more
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How Much We Gain by Surplus-Dependent Premiums—Asymptotic Analysis of Ruin Probability
Risks, 2021 In this paper, we generate boundary value problems for ruin probabilities of surplus-dependent premium risk processes, under a renewal case scenario, Erlang (2) claim arrivals, and a hypoexponential claims scenario, Erlang (2) claim sizes.
Jing Wang +2 more
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