Results 211 to 220 of about 39,031 (244)
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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.
Konstadinos Politis
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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 ...
François Dufresne, Hans U Gerber
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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 ...
François Dufresne, Hans U Gerber
exaly +3 more sources
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
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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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BARRIER PROBABILITIES AND MAXIMUM SEVERITY OF RUIN FOR A RENEWAL RISK MODEL [PDF]
International Journal of Theoretical and Applied Finance, 2007 In this paper, we consider a renewal risk model with dividend barrier, in which the claim inter-occurrence times are generalized exponential. We obtain explicit expression for the probability of absorption by an upper barrier b, before ruin occurs when the claim amount distribution is either mixed exponential or Gamma. We apply these results to obtain
K. K. THAMPI, M. J. JACOB, N. RAJU
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Approximate solutions of severity of ruins
Blätter der DGVFM, 1996Summary: Let \(G(u,y)\) be the severity of ruin, i.e. the probability that, starting with the initial surplus \(u\), ruin occurs and the deficit at the time of ruin is less than \(y\). The authors determine approximate solutions for the severity of ruin using a numerical algorithm based on cubic spline approximation.
Di Lorenzo, Emilia, Tessitore, Gerarda
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A finite-time ruin probability formula for continuous claim severities
Journal of Applied Probability, 2004An explicit formula for the probability of nonruin of an insurance company in a finite time interval is derived, assuming Poisson claim arrivals, any continuous joint distribution of the claim amounts and any nonnegative, increasing real function representing its premium income.
Ignatov, Zvetan G., Kaishev, Vladimir K.
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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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Tail equivalence relationships for ruin probabilities in several risk models
Applied Stochastic Models in Business and Industry, 2005AbstractThis paper is a further investigation into the ruin probability ψ(x) in several risk models, where x is the initial surplus. Under the assumption that the claim sizes are heavy‐tailed, we get some tail equivalence relationships of ψ(x). Copyright © 2005 John Wiley & Sons, Ltd.
Hu, Feng, Yin, Chuancun, Zong, Zhaojun
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