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Recursive calculation of time to ruin distributions
Insurance: Mathematics and Economics, 2002 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Rui Cardoso, Alfredo D Egídio dos Reis
exaly +8 more sources
Ruin Time and Severity for a Lévy Subordinator Claim Process: A Simple Approach
Risks, 2013 This paper is concerned with an insurance risk model whose claim process is described by a Lévy subordinator process. Lévy-type risk models have been the object of much research in recent years. Our purpose is to present, in the case of a subordinator, a
Claude Lefèvre, Philippe Picard
doaj +3 more sources
Effect of Stop-Loss Reinsurance on Primary Insurer Solvency
Risks, 2022 Stop-loss reinsurance is a risk management tool that allows an insurance company to transfer part of their risk to a reinsurance company. Ruin probabilities allow us to measure the effect of stop-loss reinsurance on the solvency of the primary insurer ...
Corina Constantinescu +4 more
doaj +1 more source
Uniform Asymptotic Probability for Multi Renewal Risk Model with Strong Subexponential Tailed Claims [PDF]
International Journal of Mathematical, Engineering and Management Sciences, 2022 In this paper, we study the uniform asymptotic behavior for the ruin probability in a continuous time renewal counting process. For the proposed model, we assume that the financial claims for each extreme event are compensated by a finite number of ...
Fotis Loukissas, Alex Karagrigoriou
doaj +1 more source
Discrete-Time Risk Models with Claim Correlated Premiums in a Markovian Environment
Risks, 2021 In this paper we consider a discrete-time risk model, which allows the premium to be adjusted according to claims experience. This model is inspired by the well-known bonus-malus system in the non-life insurance industry.
Dhiti Osatakul, Xueyuan Wu
doaj +1 more source
Ruin probability for renewal risk models with neutral net profit condition
Nonlinear Analysis, 2023 In ruin theory, the net profit condition intuitively means that the sizes of the incurred random claims are on average less than the premiums gained between the successive interoccurrence times.
Andrius Grigutis +2 more
doaj +1 more source
Finite-time dividend–ruin models [PDF]
Insurance: Mathematics and Economics, 2007 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Leung, Kwai Sun +2 more
openaire +3 more sources
Ruin Probability for Stochastic Flows of Financial Contract under Phase-Type Distribution
Risks, 2020 This paper examines the impact of the parameters of the distribution of the time at which a bank’s client defaults on their obligated payments, on the Lundberg adjustment coefficient, the upper and lower bounds of the ruin probability.
Franck Adékambi, Kokou Essiomle
doaj +1 more source
Risks, 2016 We consider a discrete-time dependent Sparre Andersen risk model which incorporates multiple threshold levels characterizing an insurer’s minimal capital requirement, dividend paying situations, and external financial activities.
Sung Soo Kim, Steve Drekic
doaj +1 more source
Ruin probability in finite time [PDF]
, 2011 In examining the nature of the risk associated with a portfolio of business, it is often of interest to assess how the portfolio may be expected to perform over an extended period of time. One approach involves the use of ruin theory (Panjer and Willmot, 1992).
Krzysztof Burnecki, Marek Teuerle
openaire +1 more source