Results 11 to 20 of about 34,365,461 (339)
A limit theorem for the time of ruin in a Gaussian ruin problem [PDF]
Stochastic Processes and their Applications, 2008 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hüsler, Jürg, Piterbarg, Vladimir
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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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Finite-time dividend–ruin models [PDF]
Insurance: Mathematics and Economics, 2007 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Leung, Kwai Sun +2 more
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Number of Claims and Ruin Time for a Refracted Risk Process [PDF]
2017 MATRIX Annals, 2016 In this paper, we consider a classical risk model refracted at given level. We give an explicit expression for the joint density of the ruin time and the cumulative number of claims counted up to ruin time.
Yan-Hong Li +3 more
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Gerber-Shiu Metrics for a Bivariate Perturbed Risk Process
Risks, 2023 We consider a two-dimensional risk model with simultaneous Poisson arrivals of claims. Each claim of the first input process is at least as large as the corresponding claim of the second input process.
Onno Boxma, Fabian Hinze, Michel Mandjes
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Finite-time ruin probability for correlated Brownian motions [PDF]
Scandinavian Actuarial Journal, 2020 Let be a two-dimensional Gaussian process with standard Brownian motion marginals and constant correlation . Define the joint survival probability of both supremum functionals by where and u, v are given positive constants.
K. Dȩbicki +2 more
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Ruin Probability for Stochastic Flows of Financial Contract under Phase-Type Distribution
Risks, 2020 This paper examines the impact of the parameters of the distribution of the time at which a bank’s client defaults on their obligated payments, on the Lundberg adjustment coefficient, the upper and lower bounds of the ruin probability.
Franck Adékambi, Kokou Essiomle
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Ruin probability in finite time [PDF]
, 2011 In examining the nature of the risk associated with a portfolio of business, it is often of interest to assess how the portfolio may be expected to perform over an extended period of time. One approach involves the use of ruin theory (Panjer and Willmot, 1992).
Krzysztof Burnecki, Marek Teuerle
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Finite-time ruin probability of a perturbed risk model with dependent main and delayed claims
, 2021 This paper considers a delayed claim risk model with stochastic return and Brownian perturbation in which each main claim may be accompanied with a delayed claim occurring after a stochastic period of time, and the price process of the investment ...
Yang Yang, Xinzhi Wang, Zhi-Min Zhang
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Risks, 2016 We consider a discrete-time dependent Sparre Andersen risk model which incorporates multiple threshold levels characterizing an insurer’s minimal capital requirement, dividend paying situations, and external financial activities.
Sung Soo Kim, Steve Drekic
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