Results 201 to 210 of about 1,850 (241)

The severity of ruin in a discrete semi-Markov risk model [PDF]

Stochastic Models, 2002
In this paper we introduce a discrete time semi-Markov risk model. We derive a recursive system for finding the probability of ruin and the distribution of the severity of ruin in a particular case...
Reinhard, Jean-Marie, Snoussi, Mohammed
exaly   +4 more sources

The probability and severity of ruin for combinations of exponential claim amount distributions and their translations [PDF]

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 ...
François Dufresne, Hans U Gerber
exaly   +4 more sources

Recursive calculation of the probability and severity of ruin [PDF]

Insurance: Mathematics and Economics, 1989
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
David Dickson
exaly   +3 more sources

A monotonically converging algorithm for the severity of ruin in a discrete semi-markov risk model [PDF]

Scandinavian Actuarial Journal, 2004
This 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
exaly   +4 more sources

Some of the next articles are maybe not open access.

Related searches:

On some measures of the severity of ruin in the classical Poisson model

Insurance: Mathematics and Economics, 1994
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Philippe Picard
exaly   +2 more sources

On some aspects of Maximum Severity of Ruin

Metamorphosis, 2016
The authors of this article engage ruin theory as a mathematical basis for quantifying the financial risks in insurance industry. Considering a classical risk model with dividend barrier, it is calibrated to obtain the maximum probability of ruin when the claim amount distribution is either exponential or Erlangian. It is to be noted that for numerical
Tripti Chakrabarti
exaly   +2 more sources

Severity of ruin in a Markov-dependent risk model

Wuhan University Journal of Natural Sciences, 2009
We study the severity of ruin in a Markov-dependent risk model in which the claim interarrivals and claim amounts are influenced by an external Markov chain. A system of integro-differential equation of the severity of ruin, given the initial environment state, is derived. Explicit formulas for the severity of ruin are obtained when the initial surplus
Yijun Hu, Hu Yijun
exaly   +2 more sources

The maximum severity of ruin in a perturbed risk process with Markovian arrivals

Statistics and Probability Letters, 2013
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Shuanming Li, Jiandong Ren
exaly   +2 more sources

Bounds for the probability and severity of ruin in the Sparre Andersen model

Insurance: Mathematics and Economics, 2005
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kostas Politis
exaly   +2 more sources