Results 261 to 270 of about 87,876,888 (300)

Ruin time and aggregate claim amount up to ruin time for the perturbed risk process

Scandinavian Actuarial Journal, 2013
We consider the classical Sparre-Andersen risk process perturbed by a Wiener process, and study the joint distribution of the ruin time and the aggregate claim amounts until ruin by determining its Laplace transform. This is first done when the claim amounts follow respectively an exponential/Phase-type distribution, in which case we also compute the ...
Rabehasaina, Landy, Chi-Liang Tsai, Cary
openaire   +2 more sources

On the time of Ruin

2005
In this paper we expose the problem concerning the determination of the time of ruin via the Gerber-Shiu equation, in the exponential case. We obtain a finite solution with a convolution type series expansion.
openaire   +1 more source

The Ruines of Time and the Rhetoric of Contestation

2011
In the spring of 1591, as Spenser’s Complaints had just appeared in print, John Florio was coping with his own state of frustrated ambition. A linguist of considerable ability and identified primarily by this status as a learned man, Florio, like Spenser, seems to have regarded his literary career as only part of a larger context of aristocratic and ...
openaire   +1 more source

The probability of ruin in finite time

Lithuanian Mathematical Journal, 1999
The paper deals with the Sparre Andersen model in the collective risk theory. Denote by \(\tau\) the ruin moment; \(\Psi(x,n)= P(\tau(x)\leq n)\) and \(\Psi(x)= P(\tau(x)\leq \infty)\) are, respectively, the probability of ruin before the \(n\)th payoff and in infinite time.
openaire   +1 more source

The Ruins of Time

2023
openaire   +1 more source

Approximation of ruin probability and ruin time in discrete Brownian risk models

Scandinavian Actuarial Journal, 2020
Grigori Jasnovidov
exaly  

Numerical methods for the time of ruin

2013
In this paper we study the distribution of the time to ruin in the classical risk model. We employ the Gram-Charlier and Edgeworth series to approximate this distribution. We prove, by using numerical calculation methods, that the Edgeworth approximation gives better results. We also examine asymptotic behaviour of the moments of the time to ruin.
openaire   +1 more source

The Ruins of Time

2019
openaire   +1 more source

A note on some joint distribution functions involving the time of ruin

Insurance: Mathematics and Economics, 2016
David Dickson
exaly  

Ruins and Time

2018
openaire   +1 more source