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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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First passage problems for upwards skip-free random walks via the $\Phi,W,Z$ paradigm [PDF]
, 2018 We develop the theory of the $W$ and $Z$ scale functions for right-continuous (upwards skip-free) discrete-time discrete-space random walks, along the lines of the analogue theory for spectrally negative L\'evy processes.
Avram, Florin, Vidmar, Matija
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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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Numerical Method for a Perturbed Risk Model with Proportional Investment
Mathematics, 2022 In this paper, we study the perturbed risk model with a threshold dividend strategy and proportional investment. The insurance companies are allowed to invest their surplus in a financial market consisting of a risk-free asset and a risky asset in fixed ...
Chunwei Wang, Naidan Deng, Silian Shen
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THE IMPOSSIBLE TRINITY OF DEVELOPING COUNTRIES – THE GREEK EXAMPLE [PDF]
Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2023 The mobility of factors of production from the very beginnings of the theory of the optimal currency area (OCA) stands out as one of the primary mechanisms for achieving a balance of payments, i.e.
Dragan Gligorić +2 more
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Statistica, 2007 In the present note we consider the classical continuous time model of the collective theory of risk under the assumption that the claimsize distribution is DFR (decreasing failure rate) so that, according to well known queueing results, the ultimate ...
Luca Barzanti, Corrado Corradi
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Fourier-cosine method for ruin probabilities [PDF]
, 2015 In theory, ruin probabilities in classical insurance risk models can be expressed in terms of an infinite sum of convolutions, but its inherent complexity makes efficient computation almost impossible.
Chau, KW, Yam, SCP, Yang, H
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A Risk Model with an Observer in a Markov Environment
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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Territoire en Mouvement, 2023 The film I Am Legend depicts a relationship between humanity and the environment that is both antimodern and eschatological. On the one hand, transforming the nature of things through urban artificialization and medicine promising immortality has created
Nathanaël Wadbled
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