Results 11 to 20 of about 3,572 (307)
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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Exact expression of ultimate time survival probability in homogeneous discrete-time risk model
AIMS Mathematics, 2023 In this work, we set up the generating function of the ultimate time survival probability $ \varphi(u+1) $, where $ \varphi(u) = \mathbb{P}\left(\sup\limits_{n\geqslant 1}\sum\limits_{i = 1}^{n}\left(X_i- \kappa\right)<u\right), $ $ u\in ...
Andrius Grigutis
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BBR: Brazilian Business Review, 2021 The sustainability of the Brazilian Supplementary Health System has been frequently debated, since the number of operators has decreased considerably in recent years after bankruptcy records.
Caio Alexandrino Costa Areias +1 more
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Social Sciences and Humanities Open, 2022 Business and Psychology research (and the Social Sciences, in general) is heavily biased toward explaining the past. The holy grail in such explanation-oriented research is to develop causal theory, and to test this theory with historical data against a ...
Arjen van Witteloostuijn +5 more
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International Journal of Mathematics for Industry, 2023 This paper studies the Gerber–Shiu function for the insurance surplus process with additional investment under the Bachelier model. The Gerber–Shiu function allows us to study the moments of the time of ruin, which is the first time that the surplus is ...
Sutipon Punaluek, Yuri Imamura
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Cash Flow Optimization on Insurance: An Application of Fixed-Point Theory
Mathematics, 2023 The purpose of this paper is to explore a discrete-time cash flow optimization problem of the insurance company with time value of ruin under different interest rates.
Yangmin Zhong, Huaping Huang
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Gerber–Shiu Function in a Class of Delayed and Perturbed Risk Model with Dependence
Risks, 2020 This paper considers the risk model perturbed by a diffusion process with a time delay in the arrival of the first two claims and takes into account dependence between claim amounts and the claim inter-occurrence times.
Franck Adékambi, Essodina Takouda
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On the Expected Discounted Penalty Function Using Physics-Informed Neural Network
Journal of Mathematics, 2023 We study the expected discounted penalty at ruin under a stochastic discount rate for the compound Poisson risk model with a threshold dividend strategy. The discount rate is modeled by a Poisson process and a standard Brownian motion.
Jiayu Wang, Houchun Wang
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