Results 211 to 220 of about 1,850 (241)

On the maximum severity of ruin in the compound Poisson model with a threshold dividend strategy

Scandinavian Actuarial Journal, 2010
We study the distribution and moments of the maximum severity of ruin in the compound Poisson risk process with a threshold dividend strategy.
Shuanming Li
exaly   +2 more sources

On the severity of ruin in a Markov-modulated risk model

Scandinavian Actuarial Journal, 2006
We 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
exaly   +2 more sources

Ruin problems and dual events [PDF]

Insurance: Mathematics and Economics, 1994
Dickson (1992) uses dual events to explain results relating to the distribution of the surplus immediately prior to ruin in the classical surplus process. In this paper we show that dual events can be used to explain other results in ruin theory.
David Dickson
exaly   +5 more sources

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
openaire   +1 more source

Approximate solutions of severity of ruins

Blätter der DGVFM, 1996
Summary: 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
openaire   +1 more source

The severity of ruin

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
openaire   +1 more source

On the distribution of surplus immediately after ruin under interest force [PDF]

Insurance: Mathematics and Economics, 2001
In this paper, we consider the problem of the severity of ruin for a compound Poisson model with a constant interest rate. By using the techniques of Sundt and Teugels [Ins.: Math. Econ.
Hailiang Yang
exaly   +2 more sources

A finite-time ruin probability formula for continuous claim severities

Journal of Applied Probability, 2004
An 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.
openaire   +1 more source

On the distribution of the surplus prior to ruin [PDF]

Insurance: Mathematics and Economics, 1992
The distribution of the surplus immediately prior to ruin in the classical compound Poisson risk model was considered in a paper by Dufresne and Gerber (1988).
David Dickson
exaly   +1 more source

Tail equivalence relationships for ruin probabilities in several risk models

Applied Stochastic Models in Business and Industry, 2005
AbstractThis 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
openaire   +2 more sources