Results 121 to 130 of about 165 (164)
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2001
The conditional distribution of the deficit at the time of ruin, given that ruin has occurred, is the subject matter of this chapter. This quantity may be viewed as an expected discounted penalty introduced in section 9.2, where the penalty function w(x) takes a special form.
Gordon E. Willmot, X. Sheldon Lin
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The conditional distribution of the deficit at the time of ruin, given that ruin has occurred, is the subject matter of this chapter. This quantity may be viewed as an expected discounted penalty introduced in section 9.2, where the penalty function w(x) takes a special form.
Gordon E. Willmot, X. Sheldon Lin
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The maximum severity of ruin in a perturbed risk process with Markovian arrivals
Statistics & Probability Letters, 2013zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Li, Shuanming, Ren, Jiandong
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Recursive calculation of the probability and severity of ruin
Insurance: Mathematics and Economics, 1989zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Insurance: Mathematics and Economics, 1988
In the classical compound Poisson model of the collective risk theory let \(\psi\) (u,y) denote the probability that ruin occurs and that the negative surplus at the time of ruin is less than -y. It is shown how this function, which also measures the severity of ruin, can be calculated if the claim amount distribution is a translation of a combination ...
Dufresne, François, Gerber, Hans U.
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In the classical compound Poisson model of the collective risk theory let \(\psi\) (u,y) denote the probability that ruin occurs and that the negative surplus at the time of ruin is less than -y. It is shown how this function, which also measures the severity of ruin, can be calculated if the claim amount distribution is a translation of a combination ...
Dufresne, François, Gerber, Hans U.
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On the maximum severity of ruin in the compound Poisson model with a threshold dividend strategy
Scandinavian Actuarial Journal, 2010We study the distribution and moments of the maximum severity of ruin in the compound Poisson risk process with a threshold dividend strategy.
Shuanming Li, Yi Lu
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On the severity of ruin in a Markov-modulated risk model
Scandinavian Actuarial Journal, 2006We consider a Markov-modulated risk model in which the claim inter-arrivals, amounts and premiums are influenced by an external Markovian environment process. A system of Laplace transforms of the probabilities of the severity of ruin, given the initial environment state, is established from a system of integro-differential equations derived by Snoussi
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A monotonically converging algorithm for the severity of ruin in a discrete semi-markov risk model
Scandinavian Actuarial Journal, 2004This paper deals with the severity of ruin in a discrete semi-Markov risk model. It is shown that the work of Reinhard and Snoussi (Stochastic Models, 18) can be extended to cover the case where the premium is an integer value and no restriction on the annual result is imposed.
Reinhard, Jean-Marie, Snoussi, Mohammed
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On the Moments of the Severity of Ruin in the Delayed Renewal Risk Model under Heavy-Tailed Claims
2010 International Conference on Management and Service Science, 2010Let A_D(u) be the deficit at ruin in the delayed renewal risk model, where $u$ is the initial capital of the company. Under the assumption that the equilibrium distribution of the claim size belongs to the subexponential class, this paper obtains an asymptotic formula for the φ-moment of A_D(u).
Tao Jiang, Congyan Tong
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On some measures of the severity of ruin in the classical Poisson model
Insurance: Mathematics and Economics, 1994zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Bounds for the probability and severity of ruin in the Sparre Andersen model
Insurance: Mathematics and Economics, 2005zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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