Results 11 to 20 of about 87,876,888 (300)
A limit theorem for the time of ruin in a Gaussian ruin problem [PDF]
Stochastic Processes and their Applications, 2008 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hüsler, Jürg, Piterbarg, Vladimir
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On the Discounted Penalty Function for Claims Having Mixed Exponential
Nonlinear Analysis, 2006 It is considered the classical risk model with mixed exponential claim sizes. Using known results it is obtained the explicit expression of the GerberShiu discounted penalty function ψ(x,δ) = E e −δT 1(T < ∞) , by some infinite series. Here δ > 0 is the
J. Šiaulys, J. Kočetova
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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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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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Infinite time ruin probability in inhomogeneous claims case
Lietuvos Matematikos Rinkinys, 2010 The article deals with the classical discrete-time risk model with non-identically distributed claims. The recursive formula of infinite time ruin probability is obtained, which enables to evaluate the probability to ruin with desired accuracy.
Eugenija Bieliauskienė +1 more
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Asymptotics for the time of ruin in the war of attrition [PDF]
Advances in Applied Probability, 2017 AbstractWe consider two players, starting withmandnunits, respectively. In each round, the winner is decided with probability proportional to each player's fortune, and the opponent loses one unit. We prove an explicit formula for the probabilityp(m,n) that the first player wins. Whenm~Nx0,n~Ny0, we prove the fluid limit asN→ ∞.
Ernst, Philip A., Grigorescu, Ilie
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Risks, 2015 In the compound Poisson insurance risk model under a dividend barrier strategy, this paper aims to analyze jointly the aggregate discounted claim amounts until ruin and the total discounted dividends until ruin, which represent the insurer’s payments to ...
Eric C.K. Cheung +2 more
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Risks, 2022 We introduce here a diffusion-type approximation of the ruin probability both in finite and infinite time for a two-dimensional risk process, where claims and premiums are shared with a predetermined proportion.
Krzysztof Burnecki +2 more
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On the time value of ruin in the discrete time risk model [PDF]
, 2002 Using an approach similar to that of Gerber and Shiu (1998), a recursive formula is given for the expected discounted penalty due at ruin, in the discrete time risk model. With it the joint distribution of three random variables is obtained; time to ruin,
Garrido, José, Li, Shuanming
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Journal of Applied Mathematics, 2014 Consider dividend problems in the diffusion model with interest and exponentially distributed observation time where dividends are paid according to a barrier strategy.
Cuilian Wang, Xiao Liu
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