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It’s Time to Retire Ruin (Probabilities)
Financial Analysts Journal, 2016Concerned about the growing use of ruin probabilities as the guiding risk metric for retirement income planning, the author introduces the idea of portfolio longevity being parallel to the biological longevity of human life and discusses how to educate clients regarding the most important factors influencing their money’s longevity.
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Ruin probability during an infinite time period
1984(a) PassageT→ ∞ In the previous chapters a survey was given of methods of determining numerical values of the ruin probability for finite time periods (0, T]. It is of interest to examine the behaviour of the risk process when T tends to infinity. For example in applications where the solvency of the insurer is a premise, conservative estimates can be ...
Robert Eric Beard +2 more
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The probability of ruin in finite time
Lithuanian Mathematical Journal, 1999The paper deals with the Sparre Andersen model in the collective risk theory. Denote by \(\tau\) the ruin moment; \(\Psi(x,n)= P(\tau(x)\leq n)\) and \(\Psi(x)= P(\tau(x)\leq \infty)\) are, respectively, the probability of ruin before the \(n\)th payoff and in infinite time.
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2005
In this paper we expose the problem concerning the determination of the time of ruin via the Gerber-Shiu equation, in the exponential case. We obtain a finite solution with a convolution type series expansion.
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In this paper we expose the problem concerning the determination of the time of ruin via the Gerber-Shiu equation, in the exponential case. We obtain a finite solution with a convolution type series expansion.
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Ruin Time of Uncertain Insurance Risk Process
IEEE Transactions on Fuzzy Systems, 2018Kai Yao, Jian Zhou
exaly