Results 11 to 20 of about 275,321 (335)
The Probability and Severity of Ruin in Finite and Infinite Time [PDF]
ASTIN Bulletin, 1992 David Dickson, Howard R. Waters
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On the time to ruin for Erlang(2) risk processes [PDF]
Insurance: Mathematics and Economics, 2001 The authors consider a Sparre Andersen risk process for which the claim interarrival distribution is Erlang(2). They defined \[ \varphi(u)= E[e^{-\delta T}1_{\{T< \infty\}}/V(0)= u], \] where \(1_{\{\cdot\}}\) is the indicator function, \(\delta> 0\), \(V(t)\) is the surpluss process.
Dickson, DCM, Hipp, C
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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
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Erlangian approximation to finite time ruin probabilities in perturbed risk models [PDF]
Scandinavian Actuarial Journal, 2011 In this work-in-progress, we consider perturbed risk processes that have an underlying Markovian structure, including Markovian risk processes, and Sparre-Andersen risk processes when both inter claim times and claim sizes are phase-type. We apply the Erlangization method to this risk process in order to obtain an accurate approximation of the finite ...
Yu, Kaiqi +2 more
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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
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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
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How Much We Gain by Surplus-Dependent Premiums—Asymptotic Analysis of Ruin Probability
Risks, 2021 In this paper, we generate boundary value problems for ruin probabilities of surplus-dependent premium risk processes, under a renewal case scenario, Erlang (2) claim arrivals, and a hypoexponential claims scenario, Erlang (2) claim sizes.
Jing Wang +2 more
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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.
Cardoso, Rui M. R. +1 more
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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
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An analysis of the classical gambler's ruin problem through multiple devices variation
Journal of Taibah University for Science, 2022 In this study, we propose a variant of classic 2-player ruin's problem. We advocate the use of simultaneous operation of multiple devices to conclude upon the game.
Abid Hussain +2 more
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