Results 71 to 80 of about 274,746 (183)

Dependent discrete risk processes –calculation of the probability of ruin [PDF]

This paper is devoted to discrete processes of dependent risks. The random variables describing the time between claims can be dependent in such processes, unlike under the classical approach.
Stanislaw Heilpern
core  

Extension of the Risk Model From a Hawkes Variable Memory Process via the Spearman Copula

Journal of Probability and Statistics
The ultimate ruin probability of an insurance company throughout its operating life remains and continues to be a major and very complex concern for the latter.
Souleymane Badini, Frédéric Béré, Delwendé Abdoul-Kabir Kafando, Abdoul Karim Drabo   +3 more
doaj   +1 more source

Martingales and the distribution of the time to ruin

Stochastic Processes and their Applications, 2003
The author considers the classical risk model, where claims arrive according to a renewal process, with waiting times that are of phase-type, while the claims themselves follow a distribution with a Laplace transform that is a rational function. Using martingales, the optional sampling theorem and the theory of piecewise Markov process, he determines ...
openaire   +1 more source

OPTIMAL POLICIES FOR DISCRETE TIME RISK PROCESSES WITH A MARKOV CHAIN INVESTMENT MODEL [PDF]

We consider a discrete risk process modelled by a Markov Decision Process. The surplus could be invested in stock market assets. We adopt a realistic point of view and we let the investment return process to be statistically dependent over time.
Maikol Diasparra, Rosario Romera
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The finite-time ruin probabilities of a dependent bidimensional risk model with subexponential claims and Brownian perturbations

Nonlinear Analysis
The paper considers a dependent bidimensional risk model with stochastic return and Brownian perturbations in which the price processes of the investment portfolio of the two lines of business are two geometric Lévy processes, and the claim-number ...
Chenghao Xu, Xiaowen Shen, Kaiyong Wang
doaj   +1 more source

Finite-Time Ruin Probabilities for Discrete, Possibly Dependent, Claim Severities [PDF]

This paper is concerned with the compound Poisson risk model and two generalized models with still Poisson claim arrivals. One extension incorporates inhomogeneity in the premium input and in the claim arrival process, while the other takes into account ...
Claude Lefèvre, Stéphane Loisel
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Fear of ruin and longevity enhancing investment [PDF]

Rectangularization of the survival probability seems to be an ongoing process. It results from a higher concentration of the ages at death; but it can be reversed by a continuous increase in the limit of life time. In this paper, we assume that these two
EECKHOUDT, Louis, PESTIEAU, Pierre
core  

On the moments of ruin and recovery times

Insurance: Mathematics and Economics, 2000
The author considers recursive algorithms for the calculation of the moments of the random variables: time to ruin and the duration of the first period of negative surplus (or time to recovery). A discrete model is considered as a discrete time compound Poisson process.
openaire   +3 more sources

Modelling of Risk Process With Expense-Augmented Loss Under Economic Factors and Its Application to Aggregated General Insurance Data in Kenya

International Journal of Mathematics and Mathematical Sciences
In this paper, we reformulate the classical risk model to consider economic factors such as taxation and real force of interest. In the model, the premiums are assumed to be compounded by increasing annuities over some time.
Calvine Odiwuor, Mwaniki Joseph, Ngare Philip, Simwa Richard   +3 more
doaj   +1 more source

Ghosts, ruins, monsters: urban geography in times of crisis

Geographica Helvetica

openaire   +4 more sources