Results 201 to 210 of about 39,031 (244)

Recursive calculation of the probability and severity of ruin

Insurance: Mathematics and Economics, 1989
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
David C M Dickson
exaly   +2 more sources

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.
Tripti Chakrabarti
exaly   +2 more sources

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

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   +3 more sources

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

Statistics and Probability Letters, 2013
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Shuanming Li
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
Juan Liu, Jiancheng Xu, Yijun Hu
exaly   +2 more sources