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The ruin time for 3-player gambler’s problem: an approximate formula
Communications in statistics. Simulation and computation, 2021A careful review of the literature ascertains that the problem of calculating the expected ruin time for the asymmetric 3-player game involving arbitrary unequal fortune is unsolved, see for example, Sabzevari (2018).
Abid Hussain +3 more
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Scandinavian Actuarial Journal, 2023
This paper is devoted to asymptotic analysis for a continuous-time risk model with the insurance surplus process and the log-price process of the investment driven by two dependent jump-diffusion processes.
Yang Yang, Yahui Fan, K. Yuen
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This paper is devoted to asymptotic analysis for a continuous-time risk model with the insurance surplus process and the log-price process of the investment driven by two dependent jump-diffusion processes.
Yang Yang, Yahui Fan, K. Yuen
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Finite-time ruin probabilities using bivariate Laguerre series
Scandinavian Actuarial Journal, 2022In this paper, we revisit the finite-time ruin probability in the classical compound Poisson risk model. Traditional general solutions to finite-time ruin problems are usually expressed in terms of infinite sums involving the convolutions related to the ...
Eric C. K. Cheung +3 more
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Expert systems with applications, 2021
Solving multi-objective vehicle routing problem with time windows (MOVRPTW) involves satisfying two or more objectives. However, not many algorithms can achieve a broader set of Pareto optimal front and consistent solutions that have the least difference
Thau-Soon Khoo, Babrdel Bonab Mohammad
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Solving multi-objective vehicle routing problem with time windows (MOVRPTW) involves satisfying two or more objectives. However, not many algorithms can achieve a broader set of Pareto optimal front and consistent solutions that have the least difference
Thau-Soon Khoo, Babrdel Bonab Mohammad
semanticscholar +1 more source
A Fourier-cosine method for finite-time ruin probabilities
Insurance, Mathematics & Economics, 2021In this paper, we study the finite-time ruin probability in the risk model driven by a Levy subordinator, by incorporating the popular Fourier-cosine method. Our interest is to propose a general approximation for any specified precision provided that the
Wing-Yan Lee +4 more
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Mean Ruin Time for Gambler's Ruin Problem
2011 International Conference on Business Computing and Global Informatization, 2011In this note, we point out mean ruin time is a concept which is different from mean persisting gambled time and present theoretical and numerical solutions for mean ruin time of gambler's ruin problem. Then we employ Monte Carlo simulation to verify that mean ruin time of the gambler with less initial fortune is far less than mean persisting gambled ...
Xu Meiping, Xu Yuanwei
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North American Actuarial Journal, 1998
Abstract This paper studies the joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. The time of ruin is analyzed in terms of its Laplace transforms, which can naturally be interpreted as discounting. Hence the classical risk theory model is generalized by discounting with respect to the time of ruin. We
Hans U. Gerber, Elias S.W. Shiu
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Abstract This paper studies the joint distribution of the time of ruin, the surplus immediately before ruin, and the deficit at ruin. The time of ruin is analyzed in terms of its Laplace transforms, which can naturally be interpreted as discounting. Hence the classical risk theory model is generalized by discounting with respect to the time of ruin. We
Hans U. Gerber, Elias S.W. Shiu
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Temporal Deconstructions: Narrating the Ruins of Time
2022Glenda Norquay looks at fiction by Kate Atkinson, A.L. Kennedy, Ali Smith and Louise Welsh, and at their preoccupation with what Smith calls the ‘annoying’ fact of temporality. For Norquay, the four writers challenge temporality politically, in order to contest conventional narratives around romance and ultimately to address the gendering of history ...
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Statistics and Probability Letters, 2019
This paper considers a non-standard renewal risk model with constant force of interest, where each main claim may derive a delayed claim occurring after a random period of time.
Hai-Zhong Yang, Jinzhu Li
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This paper considers a non-standard renewal risk model with constant force of interest, where each main claim may derive a delayed claim occurring after a random period of time.
Hai-Zhong Yang, Jinzhu Li
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Symbolic calculation of the moments of the time of ruin
Insurance: Mathematics and Economics, 2004zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Drekic, Steve +2 more
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