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A note on the adjustment coefficient in ruin theory
Insurance: Mathematics and Economics, 1986Abstract Necessary and sufficient conditions are given which make sure that the adjustment coefficient exists. By a class of counterexamples it is shown that the classical conditions by Wald (1947), which are sufficient if the moment generating function of the corresponding random variable is finite everywhere, do not work in general.
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Ruin theory with compounding assets — a survey
Insurance: Mathematics and Economics, 1998Abstract The paper discusses existing results in ruin theory when assets earn interest. Both analytical and numerical approaches are considered, with main emphasis on recent publications.
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In Near Ruins: Cultural Theory at the End of the Century
American Ethnologist, 1999In Near Ruins: Cultural Theory at the End of the Century. Nicholas B. Dirks. ed. Minneapolis: University of Minnesota Press, 1998. xvi. 308 pp., contributors, Index.
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On stochastic difference equations in insurance ruin theory
Journal of Difference Equations and Applications, 2012We study the insurance ruin problem in a model where in addition to the basic insurance business, the company operates in the general financial market. The development of the capital is described as the solution to a stochastic difference equation. Basic estimates for ruin probabilities are recalled from the literature and qualitative descriptions of ...
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Ruin Theory Under the Submartingale Assumption
1986The ruin theory is developed under the assumption that the gain process of an insurance company is a submartingale. Gain processes are classified according to the properties of the set of the safety indexes of their increments. Inequalities for ruin probabilities are derived for two important classes of gain processes: the embedable submartingales and ...
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A Gambler's Ruin Type Problem in Queuing Theory
Operations Research, 1963The Takács process, X(t) describing the virtual waiting time or server backlog for a single-server queue with Poisson arrivals and general service time distribution, is discussed with two absorbing boundaries. The process terminates at x = 0 when the server becomes idle or at x = T when a given backlog level is exceeded.
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Ruin theory in a financial corporation model with credit risk
Insurance: Mathematics and Economics, 2003Abstract This paper builds a new risk model for a firm which is sensitive to its credit quality. A modified Jarrow, Lando and Turnbull model (Markov chain model) is used to model the credit rating. Recursive equations for finite time ruin probability and distribution of ruin time are derived.
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Ruin Problems and Gerber–Shiu Theory
2014A natural generalisation of the classical Cramer–Lundberg insurance risk model is a spectrally negative Levy process; also called a Levy insurance risk process. In this chapter, we shall return to the first-passage problem for Levy processes, which has already been studied in Chap.
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