Ruin Probability for the Insurer–Reinsurer Model for Exponential Claims: A Probabilistic Approach
Risks, 2021 In this paper, we consider a two-dimensional risk process in which the companies split each claim and premium in a fixed proportion. It serves as a classical framework of a quota-share reinsurance contract for a given business line.
Krzysztof Burnecki +2 more
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The Effects of Largest Claim and Excess of Loss Reinsurance on a Company’s Ruin Time and Valuation
Risks, 2017 We compare two types of reinsurance: excess of loss (EOL) and largest claim reinsurance (LCR), each of which transfers the payment of part, or all, of one or more large claims from the primary insurance company (the cedant) to a reinsurer.
Yuguang Fan +4 more
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On a Fractional Stochastic Risk Model with a Random Initial Surplus and a Multi-Layer Strategy
Mathematics, 2022 The paper deals with a fractional time-changed stochastic risk model, including stochastic premiums, dividends and also a stochastic initial surplus as a capital derived from a previous investment.
Enrica Pirozzi
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Moments of the Ruin Time in a Lévy Risk Model
Methodology and Computing in Applied Probability, 2022 AbstractWe derive formulas for the moments of the ruin time in a Lévy risk model and use these to determine the asymptotic behavior of the moments of the ruin time as the initial capital tends to infinity. In the special case of the perturbed Cramér-Lundberg model with phase-type or even exponentially distributed claims, we explicitly compute the first
Philipp Lukas Strietzel, Anita Behme
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A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance
, 2013 We consider a controlled diffusion process $(X_t)_{t\ge 0}$ where the controller is allowed to choose the drift $\mu_t$ and the volatility $\sigma_t$ from a set $\K(x) \subset \R\times (0,\infty)$ when $X_t=x$.
Bauerle, Nicole, Bayraktar, Erhan
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Networked Time and the ‘Common Ruin of the Contending Classes’
tripleC: Communication, Capitalism & Critique, 2013 The rise of the network society has been hailed often as the bringer of many positive things, and has been damned in equal measure. This essay discusses the network society in terms of its effects upon the theory and practice of bourgeois and socialist ...
Robert Hassan
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Numerical Calculation of Finite-Time Ruin Probabilities in the Dual Risk Model
RisksIn the dual risk model, while the ultimate ruin probability has an exact and straightforward formula, the mathematics becomes significantly more complex when considering a finite time horizon, and the literature on this topic is scarce.
Rui M. R. Cardoso, Andressa C. O. Melo
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Humanizing the robot: Kaliningrad’s House of Soviets and the state of decay
Ambiances, 2019 This article addresses the House of Soviets, the most prominent building in the centre of Kaliningrad, Russia. Using Juhani Pallasmaa’s theory of “sixth sense”, the building is seen through notions of atmospheres and diffusion, rather than the focused ...
Michael Amundsen
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Cash Flow Optimization on Insurance: An Application of Fixed-Point Theory
Mathematics, 2023 The purpose of this paper is to explore a discrete-time cash flow optimization problem of the insurance company with time value of ruin under different interest rates.
Yangmin Zhong, Huaping Huang
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The Ornstein-Uhlenbeck-Type Model with a Hybrid Dividend Strategy
Journal of Applied Mathematics, 2013 We consider the Ornstein-Uhlenbeck-type model. We first introduce the model and then find the ordinary differential equations and boundary conditions satisfied by the dividend functions; closed-form solutions for the dividend value functions are given ...
Dan Zhu, Chuancun Yin
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