Approximation of ruin probability and ruin time in discrete Brownian risk models [PDF]
Scandinavian Actuarial Journal, 2020 We analyze the classical Brownian risk models discussing the approximation of ruin probabilities (classical, γ-reflected, Parisian and cumulative Parisian) for the case that ruin can occur only on specific discrete grids.
Grigori Jasnovidov
exaly +2 more sources
The Effects of Largest Claim and Excess of Loss Reinsurance on a Company’s Ruin Time and Valuation
Risks, 2017 We compare two types of reinsurance: excess of loss (EOL) and largest claim reinsurance (LCR), each of which transfers the payment of part, or all, of one or more large claims from the primary insurance company (the cedant) to a reinsurer.
Yuguang Fan +4 more
doaj +2 more sources
Ruin Time and Severity for a Lévy Subordinator Claim Process: A Simple Approach
Risks, 2013 This paper is concerned with an insurance risk model whose claim process is described by a Lévy subordinator process. Lévy-type risk models have been the object of much research in recent years. Our purpose is to present, in the case of a subordinator, a
Claude Lefèvre, Philippe Picard
doaj +3 more sources
Recursive calculation of time to ruin distributions
Insurance: Mathematics and Economics, 2002 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Cardoso, Rui M. R. +1 more
openaire +5 more sources
Moments of the Ruin Time in a Lévy Risk Model [PDF]
Methodology and Computing in Applied Probability, 2021 We derive formulas for the moments of the ruin time in a Lévy risk model and use these to determine the asymptotic behavior of the moments of the ruin time as the initial capital tends to infinity.
Philipp Lukas Strietzel, Anita Behme
semanticscholar +1 more source
Effect of Stop-Loss Reinsurance on Primary Insurer Solvency
Risks, 2022 Stop-loss reinsurance is a risk management tool that allows an insurance company to transfer part of their risk to a reinsurance company. Ruin probabilities allow us to measure the effect of stop-loss reinsurance on the solvency of the primary insurer ...
Corina Constantinescu +4 more
doaj +1 more source
An analysis of the classical gambler's ruin problem through multiple devices variation
Journal of Taibah University for Science, 2022 In this study, we propose a variant of classic 2-player ruin's problem. We advocate the use of simultaneous operation of multiple devices to conclude upon the game.
Abid Hussain +2 more
doaj +1 more source
Discrete-Time Risk Models with Claim Correlated Premiums in a Markovian Environment
Risks, 2021 In this paper we consider a discrete-time risk model, which allows the premium to be adjusted according to claims experience. This model is inspired by the well-known bonus-malus system in the non-life insurance industry.
Dhiti Osatakul, Xueyuan Wu
doaj +1 more source
Uniform Asymptotic Probability for Multi Renewal Risk Model with Strong Subexponential Tailed Claims [PDF]
International Journal of Mathematical, Engineering and Management Sciences, 2022 In this paper, we study the uniform asymptotic behavior for the ruin probability in a continuous time renewal counting process. For the proposed model, we assume that the financial claims for each extreme event are compensated by a finite number of ...
Fotis Loukissas, Alex Karagrigoriou
doaj +1 more source
The joint distribution of the Parisian ruin time and the number of claims until Parisian ruin in the classical risk model [PDF]
Journal of Computational and Applied Mathematics, 2016 In this paper we propose new iterative algorithm of calculating the joint distribution of the Parisian ruin time and the number of claims until Parisian ruin for the classical risk model. Examples are provided when the generic claim size is exponentially
Irmina Czarna +3 more
semanticscholar +1 more source